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...
The 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...
This post deals with the minimization of the log barrier function that is: where defined as We shall attempt an intuitive explanation...
The 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...
Mathematical optimization is a problem that takes the following form (1) where is a vector containing all the variables of the problem (2) The...
The 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...
Let us say we are interested in checking whether system hereby defined as (1) is feasible or not. In other words, could we find a...
In this lecture, we talk about Perturbation and Sensitivity Analysis. But what does that mean ? Well, consider our good old looking optimization problem that looks...
In this lecture, we talk about equivalent reformulations, that are reformulations done on the initial problem of the form (1) A very interesting question is...
In 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...
Before 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...
Recent Comments