Advanced Portfolio Optimization: A Cutting-edge Quantitative Approach

The aim of this book is to explain in detail the portfolio optimization process from a quantitative perspective with emphasis on practical applications. Compared to traditional books on portfolio optimization, which focus mainly on the theoretical aspects of modern portfolio theory (MPT) and do not delve into the study of alternative models and practical applications, this book focuses on the study of portfolio optimization as a sequential process divided in three steps: estimation of input parameters, selection of a portfolio optimization model, and backtesting of the selected investment strategy. To achieve this objective, in each chapter the book develops and explains various mathematical models and techniques that allow readers have the tools to develop custom investment strategies according to their objectives and constraints.