What is portfolio optimization11/19/2022 ![]() ![]() ![]() In his theses he focused on stability indicators to describe the condition of financial or economic markets or to improve trading strategies. Currently he is doing his PhD in the Econophysics group of Prof Diethelm Würtz. Tobias Setz holds a master in Computational Science and Engineering from ETH in Zurich with a major specialization in theoretical physics and a minor specialization in financial engineering. He is President of the Open Source “Rmetrics Association”, Senior Partner of “Finance Online GmbH” and Co-Founder of “Sidenis AG” in Zurich. He is involved in the organization of the “Rmetrics Summer Schools” and in several international workshops, courses and meetings in Europe and Asia. Diethelm is teaching regular ETH lectures and seminars in Computational Finance and Financial Engineering. The NEW Update 2015 supports R Version 3.2.ĭiethelm Würtz is Professor at the “Swiss Federal Institute of Technology” The first part, Chapters 1-10, is dedicated to the exploratory data analysis of financial assets, the second part, Chapters 11-14, to the framework of portfolio design, selection and optimization, the third part, Chapters 15-19, to the mean-variance portfolio approach, the fourth part, Chapters 20-23, to the mean-conditional value-at-risk portfolio approach, and the fifth part, Chapters 24-26, to portfolio backtesting and benchmarking. This book divides roughly into five parts. Thus the main emphasis is to briefly introduce the concepts and to give the reader a set of powerful tools to solve the problems in the field of portfolio optimization. This is a book about portfolio optimization from the perspective of computational finance and financial engineering. Rmetrics Association and Finance Online Publishing, Zurich CHF 0.00 Go back Portfolio Optimization with R/Rmetrics Downloadĭiethelm Würtz, Tobias Setz, Yohan Chalabi, William Chen, Andrew Ellis ![]()
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