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)?
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3 Answers
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Some suggestions:-
Original 1970 paper An analytic derivation of the efficient portfolio frontier by Merton, Robert C
Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques
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$\begingroup$ A book by Gérard Cornuéjols Optimization Methods in Finance was recommended to me but I haven't read it. $\endgroup$– nbbo2Dec 31, 2015 at 14:22
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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.
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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
Part I. From Portfolio Optimization to Risk Parity
- Modern Portfolio Theory
- Risk Budgeting Approach
Part II. Applications of the Risk Parity Approach
- Risk-Based Indexation
- Application to Bond Portfolios
- Risk Parity Applied to Alternative Investments
- Portfolio Allocation with Multi-Asset Classes
Appendix
A. Technical Appendix
B. Tutorial Exercises
