But why isn’t Markowitz Working ?
0The following lecture talks about the Markowitz Portfolio Optimization problem in convex optimization. Indeed, many variants of this problem exists, but the classical one looks like...
Convex Optimization
Log Barrier Minimization: An Intuitive Approach
0This post deals with the minimization of the log barrier function that is: where defined as We shall attempt an intuitive explanation...
Markowitz Portfolio Optimization in Stock Market Analysis
1The following lecture talks about the Markowitz Portfolio Optimization problem in convex optimization. Indeed, many variants of this problem exists, but the classical one looks like...
Introduction of Convex Optimization
3Mathematical optimization is a problem that takes the following form (1) where is a vector containing all the variables of the problem (2) The...
Strong Alternatives
1The above lecture is brought to you by Skillshare. In a previous post of mine, we introduced weak alternatives. As a small reminder, consider the following...
Weak Alternatives
1Let us say we are interested in checking whether system hereby defined as (1) is feasible or not. In other words, could we find a...
Perturbation & Sensitivity Analysis
1In this lecture, we talk about Perturbation and Sensitivity Analysis. But what does that mean ? Well, consider our good old looking optimization problem that looks...
Equivalent Reformulations
0In this lecture, we talk about equivalent reformulations, that are reformulations done on the initial problem of the form (1) A very interesting question is...
Cone Programming on CVXOPT in Python
0In a previous post of mine, I talked about CVXOPT Programming. In this one, we’ll introduce cone programming. So first things first. Cone programming is a...
CVXOPT Programming
0Before I talk about CVXOPT programming, I’m assuming that you know what a convex optimization (or at least an optimization) problem is. If you don’t, it’s...
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