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Investment Portfolio Optimization

In: Neutral and Indifference Portfolio Pricing, Hedging and Investing

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  • Srdjan Stojanovic

    (University of Cincinnati, Department of Mathematics)

Abstract

Optimal portfolio theory, by its goal (how to invest in an optimal fashion), by its level of development, and recently also by its implications in other major areas of mathematical finance (pricing and hedging in incomplete markets), is certainly one of its most important areas of research. The essence of finance is investing, and the quantitative framework for optimal investing is optimal portfolio theory.

Suggested Citation

  • Srdjan Stojanovic, 2012. "Investment Portfolio Optimization," Springer Books, in: Neutral and Indifference Portfolio Pricing, Hedging and Investing, chapter 0, pages 39-91, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-71418-9_3
    DOI: 10.1007/978-0-387-71418-9_3
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