13.6 Further Reading: Portfolio Theory with Short Sales Constraints

  • Mention other quadratic programming packages: ROI etc. See Doug’s book
  • Mention Pfaff’s R book (Pfaff 2013) ??
  • Mention Grilli’s book etc.

To be completed…

References

Pfaff, B. 2013. Financial Risk Modelling and Portfolio Optimization with R. Chichester, UK.: Wiley.