Advanced Portfolio Optimization: A Cutting-edge Quantitative Approach
Author:   Dany Cajas
Publisher:   Springer International Publishing AG
ISBN:  

9783031843037


Pages:   503
Publication Date:   17 April 2025
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
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Advanced Portfolio Optimization: A Cutting-edge Quantitative Approach


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Author:   Dany Cajas
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
ISBN:  

9783031843037


ISBN 10:   3031843037
Pages:   503
Publication Date:   17 April 2025
Audience:   Professional and scholarly ,  College/higher education ,  Professional & Vocational ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Chapter 1 Introduction.- Chapter 2 Why use Python?.- Part I Parameter Estimation.- Chapter 3 Sample Based Methods.- Chapter 4  Risk Factors Models.- Chapter 5 Black Litterman Models.- Chapter 7 Convex Risk Measures.- Chapter 8 Return-Risk Trade-Off Optimization.- Chapter 9 Real Features Constraints.- Chapter 10 Risk Parity Optimization.- Chapter 11 Robust Optimization.- Part III Machine Learning Portfolio Optimization.- Chapter 12 Hierarchical Clustering Portfolios.- Chapter 13 Graph Theory Based Portfolios.- Part IV Backtesting.- Chapter 14 Generation of Synthetic Data.- Chapter 15 Backtesting Process.- Part V Appendix.- Chapter A Linear Algebra.- Chapter B Convex Optimization.- Chapter C Mixed Integer Programming.

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Author Information

Dany Cajas is the creator and sole maintainer of the Riskfolio-Lib portfolio optimization Python library, one of the most popular finance libraries worldwide with more than 3,100 stars on Github and more than 600k downloads. He has experience in financial planning, management control, quantitative financial risk management, pricing of financial derivative instruments and portfolio construction. He has teaching experience in Python programming for quantitative finance courses for students in North America, South America, Asia, and Europe through his company Orenji EIRL.

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