Dany Cajas is the creator and sole maintainer of the Riskfolio-Lib portfolio optimization Python library, one of the most popular finance libraries worldwide with more than 3,100 stars on Github and more than 600k downloads. He has experience in financial planning, management control, quantitative financial risk management, pricing of financial derivative instruments and portfolio construction. He has teaching experience in Python programming for quantitative finance courses for students in North America, South America, Asia, and Europe through his company Orenji EIRL.
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Advanced Portfolio Optimization
Dany Cajas
Chapter 1 Introduction.- Chapter 2 Why use Python?.- Part I Parameter Estimation.- Chapter 3 Sample Based Methods.- Chapter 4 Risk Factors Models.- Chapter 5 Black Litterman Models.- Chapter 7 Convex Risk Measures.- Chapter 8 Return-Risk Trade-Off Optimization.- Chapter 9 Real Features Constraints.- Chapter 10 Risk Parity Optimization.- Chapter 11 Robust Optimization.- Part III Machine Learning Portfolio Optimization.- Chapter 12 Hierarchical Clustering Portfolios.- Chapter 13 Graph Theory Based Portfolios.- Part IV...
