Portfolio Optimization: Theory and Application - Couverture rigide

Palomar, Daniel P.

Couverture rigide

ISBN 10 : 100942808X ISBN 13 : 9781009428088

Editeur : Cambridge University Press, 2025

Synopsis

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.

A propos du livre

À propos de l?auteur

Daniel P. Palomar is a Professor at the Hong Kong University of Science and Technology. He is recognized as EURASIP Fellow, IEEE Fellow, and Fulbright Scholar, and recipient of numerous research awards. His current research focus is on convex optimization applications in signal processing, machine learning, and finance. He is the author of many research articles and books, including 'Convex Optimization in Signal Processing and Communications'.

Détails de l'édition

• Éditeur: Cambridge University Press
• Date d'édition: 2025
• Langue: anglais
• ISBN 10: 100942808X
• ISBN 13: 9781009428088
• Reliure: Relié
• Nombre de pages: 608
• Coordonnées du fabricant: Cambridge University Press; https://www.cambridge.org/; ; Via Honduras,15; Pomezia; Italia; 71; Italie