Mathematical programming methods in portfolio analysis

Includes bibliographical references (pages 89-98)This is an expository study of mathematical programming methods used in portfolio analysis. The emphasis is on methods used in the Mean Variance Portfolio Theory that was promulgated by Harry Markowitz for the first time in 1956. Parametric quadratic programming techniques that are widely used to solve the optimization problems in these models have been treated at length. Other mathematical programming models, the algorithms to solve them, and certain properties of the efficient frontier that are of mathematical interest have also been considered. A brief mention has been made of expected utility analysis and portfolio selection models that do not require mathematical programming methods for their solution.M.S. (Master of Science