Portfolio Optimization

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.