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From the PublisherMichael Best’s book is the ideal combination of optimization and portfolio theory. Mike has provided a wealth of practical examples in MATLAB to give students hands-on portfolio optimization experience. The included stand-alone MATLAB code even provides its own quadratic solver, so that students do not need to rely on any external packages.
—David Starer, Stevens Institute of Technology
Overall, this is a nice book that would be ideal as a textbook for one-semester portfolio optimization courses. It can also be good as a supplementary text for courses in operations research and/or financial engineering. The book is self-contained enough to be used as study material for those who want to teach themselves portfolio optimization and related computer programming, be they advanced undergraduate students, graduate students, or financial practitioners.
—Youngna Choi, Mathematical Reviews, Issue 2012a
… an excellent companion text for the course ‘Discrete-Time Models in Finance’ that I have been teaching in the past years. … I think adding your text can make the course more lively. This is what I plan to do in the coming (fall) semester.
—Edward P. Kao, University of Houston, Texas, USA