Tier 4 · QuantFree
Portfolio Optimization
Optimal
10 modules~71 min totalVerifiable certificate on completion
Syllabus
01Mean-Variance OptimizationMath
8 min02The Efficient Frontier and the LagrangianMath
8 min03The Tangency Portfolio and the Capital Market LineMath
8 min04Black-LittermanMath
8 min05Robust Optimization and Covariance ShrinkageMath
8 min06Mean-Variance Optimization
6 min07Black-Litterman
6 min08Risk Parity
6 min09Transaction Costs and Signal Decay
7 min10Robust Optimization
6 minFrom Module 1 — read a sample
Finding the portfolio weights that get the best return for a given level of risk. Imagine 100 possible portfolios — we want the one on the 'efficient frontier': highest return for the risk you're willing to take. Two assets with the same individual risk can behave very differently together depending on how they move relative to each other.
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