I am looking for some literature devoted to optimization methods in finance (portfolio optimization, asset pricing etc).

Could you please recommend some books (perhaps, essentially non elementary: I have a master's degree in applied mathematics)?


3 Answers 3


Some suggestions:-

Modern Portfolio Theory and Investment Analysis, Ch. 6 Techniques for Calculating the Efficient Frontier

Original 1970 paper An analytic derivation of the efficient portfolio frontier by Merton, Robert C

Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques

  • 2
    $\begingroup$ Modern Portfolio Theory is such a great book $\endgroup$
    – Rime
    Dec 31, 2015 at 11:13
  • $\begingroup$ A book by Gérard Cornuéjols Optimization Methods in Finance was recommended to me but I haven't read it. $\endgroup$
    – nbbo2
    Dec 31, 2015 at 14:22

I used Optimisation Methods in Finance, it covers:

  • Linear Programming
  • Nonlinear Programming
  • Quadratic Pogramming
  • Conic Programming
  • Integer Programming
  • Dynamic Programming
  • Stochastic Programming

I haven't come across another book with such coverage or wider yet, although I've not been actively looking though.


I really like a lot Introduction to Risk Parity and Budgeting, by Thierry Roncalli. It covers a lot of aspect of portfolio construction, including portfolios of bonds, and provides a focus on risk management.

The Table of Contents is

  1. Part I. From Portfolio Optimization to Risk Parity

    1. Modern Portfolio Theory
    2. Risk Budgeting Approach
  2. Part II. Applications of the Risk Parity Approach

    1. Risk-Based Indexation
    2. Application to Bond Portfolios
    3. Risk Parity Applied to Alternative Investments
    4. Portfolio Allocation with Multi-Asset Classes
  3. Appendix

    A. Technical Appendix

    B. Tutorial Exercises


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