Category: Portfolio

Quantitative Analytics: Optimal Portfolio Allocation

From: https://lf0.com/post/portfolio-optimisation-model/portfolio-optimisation-r/ Introduction: The literature in portfolio optimisation has been around for decades. In this post I cover a number of traditional portfolio optimisation models. The general aim is to select a portfolio of assets out of a set of all possible portfolios being considered with a defined objective function. The data: The data is … Continue reading Quantitative Analytics: Optimal Portfolio Allocation →

Deep Portfolio Optimization — An Experiment with Cryptocurrencies

From: https://towardsdatascience.com/deep-portfolio-optimization-an-experiment-with-cryptocurrencies-106bf22a634 Feeling bullish. Image source Ifyou’ve ever taken an intro finance or investment theory class, then you’ve probably come across the idea of Modern Portfolio Theory or MPT. The Nobel Prize winning idea is that we have a collection of assets which have different returns, risks and correlations with each other, and we find an optimal weighing … Continue reading Deep Portfolio Optimization — An Experiment with Cryptocurrencies →