Portfolio Optimization: Theory and Application (Hardcover) (ISBN-13: 9781009428088)

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.

Author: Daniel P. Palomar
ISBN-10: 100942808X
ISBN-13: 9781009428088
Publisher: Cambridge University Press
Language: English
Published: 05/31/2025
Pages: 550
Format: Hardcover