Portfolio Optimization : Theory and Application - Daniel P. Palomar

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Portfolio Optimization

Theory and Application

By: Daniel P. Palomar

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Hardcover | 12 June 2025

At a Glance

Hardcover
610 Pages

Dimensions(cm)
25.4 x 17.78 x 3.33

Hardcover

RRP $153.95

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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 meanâ"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.

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