Quantitative Analysis, Risk Management, Modelling, Algo Trading, and Big Data Analysis

Applied Portfolio Optimization with Risk Management using Matlab






The eBook presents the ins and outs of the Portfolio Optimization problem in practice. It describes in detail the essential theoretical background standing behind looking for an optimal solution for any portfolio of assets. It includes extensive MATLAB codes ready to re-run and apply as a part of your asset allocation strategy. The ebook discusses the pitfalls and commonly underestimated concepts of risk in the investment process. Written in an extremely compact but superbly efficient way. Designed as a ready-to-use practical guidebook for quantitative analysts, financial investors, and algorithmic traders.

1st Edition. QuantAtRisk signature of Quality.
350+ lines of MATLAB code included.

See Random Pages.


What will you find inside the eBook:

Reversed Engineering
Simplicity of Complexity, Essential Matlab, Approaching the Target
Portfolio under Construction
Hong Kong 6.32am (an introduction to asset trading concept), Financial Time-Series (definitions, web-access, downloading, pre-processing), Analysis of Return-Series (essential data processing), 2-Asset Portfolios (modern portfolio theory, portfolio-related measures), Efficient Frontier for 2-Asset Portfolio (theory and impact of correlation between assets), Estimation of Efficient Frontier for N-Asset Portfolio (implementation, portfolio object construction)
Optimization under Risk
New York City 9.06pm (30-asset portfolio in practice, risk and return, historical impact of input data, aspects of portfolio selection), Risk and Return for N-Asset Portfolio (algebra, MATLAB codes in action), Optimization Problem Formulation, Default Optimization Problem, Portfolio Allocation Problem at Work (choice of target, optimization process, risk or return?), Portfolio Optimization with Risk under Control (understanding of risk management in live applications)


First Testimonials

As usual Pawel exceeds expectations with the form and content. I found this ebook very handy and Matlab code is very well written.
Jim Reynolds, NYC

I was surprised by a low number of pages but hugely rewarded by the content! MATLAB code is simply great!
Hans Döbler, PhD, Berlin

I’m great fan of Pawel website and his first ebook extends his credibility as a quant with deep understanding of financial problems.
Ricardo de Ferri, Rio de Janeiro

I am presently studying for my CFA level 2 in which most of the concepts are covered in your book as well and therefore it is easy to relate to them.
Venkata Bharadwaj, USA

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