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Portfolio Optimization Theory

Background theory for Portfolio optimization problems

For information about Portfolio optimization theory, see Portfolio Optimization Theory.

Objects

PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaRCreates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Topics

Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

Portfolio Object

Using the Portfolio object and associated functions for portfolio optimization.

PortfolioCVaR Object

Using the PortfolioCVaR object and associated functions for portfolio optimization.

PortfolioMAD Object

Using the PortfolioMAD object and associated functions for portfolio optimization.