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Portfolio Optimization : Theory and Application.
・ISBN 978-1-009-42808-8 hard GB£ 79.99
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お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-009-42809-5
| 著者・編者 | Palomar, Daniel P., |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2025.04 |
| ページ数 | 608 pp. |
| 言語 | ENG |
| ニュース番号 | ＜744-258 744-294＞ |
解説
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.