Portfolio Optimization
Format: Hardcover
ISBN13: 9781009428088
Hardcover|9781009428088
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Overview
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.
| ISBN-13 | 9781009428088 |
|---|---|
| ISBN-10 | 100942808X |
| Weight | 2.95 Pounds |
| Dimensions | 7.00 x 1.31 x 10.00 In |
| List Price | $99.99 |
| Format | Hardcover |
|---|---|
| Language | English |
| Pages | 550 pages |
| Publisher | Cambridge University Press |
| Published On | 2025-06-12 |
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