PhiloMath
Research Groups
About
Contacts
Research Groups
Portfolio Optimisation and Management
Projects
Research Groups
Data-Driven and Physics-Informed Models
Projects
Newton's Second Law of Motion
Tasks
Dynamical Systems and Control
Projects
Controlling the Trajectory of a Motion
Tasks
Portfolio Optimisation and Management
Projects
Mean-Variance Portfolio Optimisation
Tasks
Build the Mean-Variance (Markowitz) Portfolio Optimisation Problem
Optimise the Mean-Variance Portfolio of Several Assets
Analysis of the Mean-Variance Portfolio with Illustrations
Surrogate Models and Optimisation
Projects
General-Purpose Data-Fitted Surrogate Models
Tasks
Classical Curve Fitting Problems and Basis Functions
Classical Data-Fitted Linear Surrogate Models
Non-classical Curve Fitting Problems and Basis Functions
Non-classical Data-Fitted Linear Surrogate Models
Nonlinear Data-Fitted Surrogate Models
Contacts
Research Groups
Portfolio Optimisation and Management
Projects
Projects
Mean-Variance Portfolio Optimisation
This simple project consists of definining time series, either from a given history or from a given model, for stocks or assets in order to calculate their returns and variances. The constructed mean-variance portfolio is then optimised using several methods and analysed.
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