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Portfolio Optimization

By Palomar, Daniel P.

Portfolio Optimization Business, Finance & Career

Portfolio Optimization

By Palomar, Daniel P.

0 - Default Title
Description
This comprehensive guide to the world of financial data modeling and portfolio design is a must-read for anyone looking to understand and apply portfolio optimization in a practical context. It bridges the gap between mathematical formulations and the design of practical numerical algorithms. It explores a range of methods, from basic time series models to cutting-edge financial graph estimation approaches. The portfolio formulations span from Markowitz's original 1952 mean-variance portfolio to more advanced formulations, including downside risk portfolios, drawdown portfolios, risk parity portfolios, robust portfolios, bootstrapped portfolios, index tracking, pairs trading, and deep-learning portfolios. Enriched with a remarkable collection of numerical experiments and more than 200 figures, this is a valuable resource for researchers and finance industry practitioners. With slides, R and Python code examples, and exercise solutions available online, it serves as a textbook for portfolio optimization and financial data modeling courses, at advanced undergraduate and graduate level.
Product details
Edition:
1
Number of Pages:
610
Release Date:
2025-04-30
Publication Date:
2025-05-06
Publisher:
Cambridge University Press
Languages:
Original: English
ISBN10:
100942808X
ISBN13:
9781009428088
GPSR Manufacturer Reference:
[email protected]
Weight:
1326 g
Height:
183 cm
Width:
260 cm
Thickness:
37 cm
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