Advanced Portfolio Optimization A Cutting-edge Quantitative Approach /
This book is an innovative and comprehensive guide that provides readers with the knowledge about the latest trends, models and algorithms used to build investment portfolios and the practical skills necessary to apply them in their own investment strategies. It integrates latest advanced quantitati...
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| Format: | Electronic eBook |
| Language: | English |
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Cham :
Springer Nature Switzerland : Imprint: Springer,
2025.
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| Edition: | 1st ed. 2025. |
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| Online Access: | https://doi.org/10.1007/978-3-031-84304-4 |
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| 245 | 1 | 0 | |a Advanced Portfolio Optimization |h [electronic resource] : |b A Cutting-edge Quantitative Approach / |c by Dany Cajas. |
| 250 | |a 1st ed. 2025. | ||
| 264 | 1 | |a Cham : |b Springer Nature Switzerland : |b Imprint: Springer, |c 2025. | |
| 300 | |a 1 online resource (XV, 503 p. 216 illus.). |b 186 illus. in color. | ||
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| 337 | |a computer |b c |2 rdamedia | ||
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| 341 | 0 | |b Single logical reading order |2 onix | |
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| 341 | 0 | |b All Non-decorative content supports reading without sight |2 onix | |
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| 505 | 0 | |a Chapter 1 Introduction -- Chapter 2 Why use Python? -- Part I Parameter Estimation -- Chapter 3 Sample Based Methods -- Chapter 4 Risk Factors Models -- Chapter 5 Black Litterman Models -- Chapter 7 Convex Risk Measures -- Chapter 8 Return-Risk Trade-Off Optimization -- Chapter 9 Real Features Constraints -- Chapter 10 Risk Parity Optimization -- Chapter 11 Robust Optimization -- Part III Machine Learning Portfolio Optimization -- Chapter 12 Hierarchical Clustering Portfolios -- Chapter 13 Graph Theory Based Portfolios -- Part IV Backtesting -- Chapter 14 Generation of Synthetic Data -- Chapter 15 Backtesting Process -- Part V Appendix -- Chapter A Linear Algebra -- Chapter B Convex Optimization -- Chapter C Mixed Integer Programming. | |
| 520 | |a This book is an innovative and comprehensive guide that provides readers with the knowledge about the latest trends, models and algorithms used to build investment portfolios and the practical skills necessary to apply them in their own investment strategies. It integrates latest advanced quantitative techniques into portfolio optimization, raises questions about which alternatives to modern portfolio theory exists and how they can be applied to improve the performance of multi-asset portfolios. It provides answers and solutions by offering practical tools and code samples that enable readers to implement advanced portfolio optimization techniques and make informed investment decisions. Portfolio Optimization goes beyond traditional portfolio theory (Quadratic Programming), incorporating last advances in convex optimization techniques and cutting-edge machine learning algorithms. It extensively addresses risk management and uncertainty quantification, teaching readers how to measure and minimize various forms of risk in their portfolios. This book goes beyond traditional back testing methodologies based on historical data for investment portfolios, incorporating tools to create synthetic datasets and robust methodologies to identify better investment strategies considering real aspects like transaction costs. The author provides several methodologies for estimating the input parameters of investment portfolio optimization models, from classical statistics to more advanced models, such as graph-based estimators and Bayesian estimators, provide a deep understanding of advanced convex optimization models and machine learning algorithms for building investment portfolios and the necessary tools to design the back testing of investment portfolios using several methodologies based on historical and synthetic datasets that allow readers identify the better investment strategies. | ||
| 532 | 8 | |a Accessibility summary: This PDF does Not fully comply with PDF/UA standards but does include limited screen reader support, descriptions for Non-text content (such as images and graphs), bookmarks for easy navigation, and searchable, selectable text. Users of assistive technologies may experience difficulty navigating or interpreting content in this document. We recognise the importance of accessibility and welcome queries about accessibility for any of our products. If you have a question or an access need, please get in touch with us via https://www.springernature.com/gp/info/accessibility | |
| 532 | 8 | |a Inaccessible, or known limited accessibility | |
| 532 | 8 | |a No reading system accessibility options actively disabled | |
| 532 | 8 | |a Publisher contact for further accessibility information: accessibilitysupport@springernature.com | |
| 588 | |a Print version record. | ||
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Data mining. | |
| 650 | 0 | |a Machine learning. | |
| 650 | 0 | |a Valuation. | |
| 650 | 0 | |a Financial risk management. | |
| 650 | 1 | 4 | |a Statistics in Business, Management, Economics, Finance, Insurance. |
| 650 | 2 | 4 | |a Data Mining and Knowledge Discovery. |
| 650 | 2 | 4 | |a Machine Learning. |
| 650 | 2 | 4 | |a Investment Appraisal. |
| 650 | 2 | 4 | |a Risk Management. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783031843037 |
| 776 | 0 | 8 | |i Printed edition: |z 9783031843051 |
| 776 | 0 | 8 | |i Printed edition: |z 9783031843068 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-3-031-84304-4 |
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| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||
| 950 | |a Focus Bundle Mathematics and Statistics (SpringerNature-85421) | ||