Cambridge University Press
Modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Many find the roots of this trend in the portfolio-selection models and methods described by Harry Markowitz in the 1950s and the option-pricing formulas developed by Fischer Black, Myron Scholes and Robert Merton in the late 1960s and early 1970s.
In particular, optimization models play an increasingly important role in financial decisions. This textbook seeks to explain how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately.
The book guides readers through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models, respectively.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees. This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.