Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is indeed a problem. Spreadsheets are dangerous when given a complex task.  Portfolio optimization qualifies as complex in this context (complex in data ...

During the first part of our meeting, Nicolas Christou gave an introduction of statistical finance in R, and presented a package he co-authored with previous PhD student David Diez (2010). Video of the talk is below: During the second part, … Continue reading →