National Tsing Hua Univeristy 2021 Fall
Instructor : Professor Chung-Han,Hsieh
- One of the most amazing course that I have taken in my life.
Course Inforamtion : https://sites.google.com/a/wisc.edu/chhsieh/home/teaching/robust-and-stochastic-portfolio-optimization?authuser=0
Assignment 01 (Optimization Model and Some Preliminaries)
Assignment 02 (Convex Sets)
Assignment 03 (Convex Functions)
Assignment 04 (Convex Optimization)
Assignment 05 (Robust and Stochastic Portfolio Optimization)
Assignment 06 (Black-Litterman and Factor Models)
Assignment 07 (On Coerciveness and Coherent Risks)
Part 1: Review: Convex Optimization
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Convex Sets
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Convex Functions
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Convex Optimization Problems
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Optimization Under Uncertainty
Part 2: Classical Portfolio Optimization and Extensions
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Portfolio Selection Problem
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Optimal Portfolio Growth Problem
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Various Portfolio Risk Constraints
Part 3: Robust Parameter Estimation
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Forecasting Expected Return and Risk
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Robust Estimation
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The Black-Litterman Model
Part 4: Robust and Stochastic Portfolio Optimization
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Robust Portfolio Allocation
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Portfolio Selection and Rebalancing As a Stochastic Control Problem
Part5: Special Topis
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Special Topic: Stochastic Drawdown Risks
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Special Topic: Chance Constrained Optimization
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Special Topic: Distributional Robust Optimization