Portfolio Optimization Theory

Background theory for Portfolio optimization problems

Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. For information about Portfolio optimization theory, see Portfolio Optimization Theory.

Objects

`Portfolio`	Create Portfolio object for mean-variance portfolio optimization and analysis
`PortfolioCVaR`	Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
`PortfolioMAD`	Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Topics

Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
Portfolio Object
Using the Portfolio object and associated functions for portfolio optimization.
PortfolioCVaR Object
Using the PortfolioCVaR object and associated functions for portfolio optimization.
PortfolioMAD Object
Using the PortfolioMAD object and associated functions for portfolio optimization.