This is the homepage for the Portfolio
Optimization Book. It contains slides, code examples (R and Python),
exercises, and data.
To contribute, check the developer GitHub
webpage.
Chapters
Work in progress, updated weekly…
- Chapter 1 - Introduction: slides
Part I - Finantial Data
Chapter 2 - Financial Data: Stylized Facts: slides
, R code
Chapter 3 - Financial Data: IID Modeling: slides
, R
code
Chapter 4 - Financial Data: Time Series Modeling: slides
, R code
Chapter 5 - Financial Data: Graphs
Part II - Portfolio Optimization
Chapter 6 - Portfolio Basics: slides
, R code
Chapter 7 - Modern Portfolio Theory: slides
, R code
Chapter 8 - Portfolio Backtesting: slides
, R code
Chapter 9 - High-Order Portfolios: slides
, R code
Chapter 10 - Portfolios with Alternative Risk Measures: slides
, R code
Chapter 11 - Risk Parity Portfolios: slides ,
R code
Chapter 12 - Graph-Based Portfolios: slides
, R code
Chapter 13 - Index Tracking Portfolios: slides
, R code
Chapter 14 - Robust Portfolios: slides
, R code
Chapter 15 - Pairs Trading Portfolios: slides
, R code
Chapter 16 - Deep Learning Portfolios
Appendices
Appendix A - Convex Optimization Theory: slides
Appendix B - Optimization Algorithms: slides
, R code