Optimal Portfolios #1

This afternoon, I will start a crash course on financial portfolio optimization, with application in R. This week, we start with simple things, with the theoretical setup, without and with a risk free asset. We will discuss then the problem of estimating parameters, in a robust way. Then we introduce the idea of consider a more general criteria to quantify risk than the variance (but it means more general distributions… this point will be discussed further next time). The slides are available here, and R codes from there (in a Markdown)

Cite this blog post
Arthur Charpentier (2017, November 14). Optimal Portfolios #1. Freakonometrics. Retrieved May 18, 2024, from https://doi.org/10.58079/ov8t

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