Portfolio optimization and performance stats

(Last Updated On: November 22, 2016)
Learn the Secret

Get  our 2 Free Books

Get these now which land directly to their inbox.
Invalid email address

Portfolio optimization and performance stats

This is a big world used by institutional traders

My notes:

Sharpe ratio

Sortino

 

Markowitz portfolio theory

Conditional value at risk

Kelly Criterion

Efficient frontier
From Wikipedia

  • Quadratic programming
  • Nonlinear programming
  • Mixed integer programming
  • Meta-Heuristic Methods[5]
  • Stochastic programming for multistage portfolio optimization[6]
  • http://www.investopedia.com/terms/m/modernportfoliotheory.asp

Join my FREE newsletter to learn n my next webinar on topics like this

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
This entry was posted in Uncategorized and tagged , , , on by .

About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs