Notes on Portfolio Management (Market Notes, Page 578)
Preview of Notes:
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In the previous market notes post, we added the discussion of Poisson processes and option pricing under the jump model:
In this week’s post, we add on to the notes on portfolio management. We discuss alternative measures for risk, portfolio optimization in higher moments, polynomial goal programming, extensions of the classical mean-variance framework for practical constraints and penalties, robust estimation methods and so on. We added Python code sections in some of the relevant discussions. Other code examples will be included in the future.
The market notes now compiles to 578 pages of discussion on both theoretical and applied quantitative methods in hard sciences and systematic trading practice.
In the next posts, we continue to look at portfolio management, extend linear algebraic theory from the Euclidean space to abstract vector spaces, and continue our formulaic alpha report.
Happy Trading.
Full Market notes: (578 Pages, paid readers)