11 relations: Constrained optimization, Expected return, Finance, Fischer Black, Goldman Sachs, Harry Markowitz, Mathematical model, Modern portfolio theory, Portfolio optimization, Robert Litterman, Short (finance).
Constrained optimization
In mathematical optimization, constrained optimization (in some contexts called constraint optimization) is the process of optimizing an objective function with respect to some variables in the presence of constraints on those variables.
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Expected return
The expected return (or expected gain) on a financial investment is the expected value of its return (of the profit on the investment).
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Finance
Finance is a field that is concerned with the allocation (investment) of assets and liabilities (known as elements of the balance statement) over space and time, often under conditions of risk or uncertainty.
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Fischer Black
Fischer Sheffey Black (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the authors of the famous Black–Scholes equation.
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Goldman Sachs
The Goldman Sachs Group, Inc. is an American multinational investment bank and financial services company headquartered in New York City.
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Harry Markowitz
Harry Max Markowitz (born August 24, 1927) is an American economist, and a recipient of the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.
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Mathematical model
A mathematical model is a description of a system using mathematical concepts and language.
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Modern portfolio theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.
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Portfolio optimization
Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective.
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Robert Litterman
Robert Bruce Litterman (born 1951) is chairman of the Risk Committee and a founding partner of Kepos Capital in New York.
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Short (finance)
In finance, a short sale (also known as a short, shorting, or going short) is the sale of an asset (securities or other financial instrument) that the seller does not own.
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