Decision Sciences
5 years ago

Maximize your wealth and minimize risk with nonlinear portfolio optimization!

Elsevier eBooks
Nonlinear optimization applied to the portfolio theory
Giovanni Romeo

Paper Summary

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Nonlinear optimization is used in portfolio theory to help investors choose the best mix of financial assets to maximize their returns while minimizing risk. This approach is similar to how consumers make choices. Portfolio managers can use Excel for basic analysis before using more advanced software for larger portfolios. Short selling and riskless lending are not allowed in this type of portfolio optimization.