7 – L4 14 Recap V1

Hey now, you made it, and you are doing awesome. We talked about a lot in this lesson. We learned about a very important method for distributing money amongst several assets in a manner that maximizes return and minimizes risk. This knowledge will serve you well when you’re deciding how to best invest your money. … Read more

6 – L4 13 Limitations V2

So far we’ve learned a few common ways to formulate and solve a portfolio optimization problem. But there are a number of practical limitations to these methods. First of all, mean returns are notoriously difficult to estimate accurately. Past returns are frequently poor estimates of future returns. To mitigate this problem, people frequently avoid estimating … Read more

5 – L4 12 Rebalancing Strategies V2

In the last video, we discussed the purpose of rebalancing, costs incurred during rebalancing, and we also chatted about a way to estimate those costs. But how do you know when to rebalance a portfolio? There are two types of events that trigger the rebalancing decision, cash flows and changes in the underlying parameters of … Read more

4 – L4 11 Rebalancing A Portfolio V2

So far in this lesson, you’ve learned how to use optimization techniques to come up with optimal portfolio weights. Is your job done? Not really. As a portfolio manager, the next step after portfolio construction, is to constantly monitor your portfolio, and make sure it is in line with your goals. Over time, assets produce … Read more

3 – L4 03 Optimization With Constraints V3

Earlier, we discussed a basic optimization problem. It’s possible for optimization problems to have an additional wrinkle. Constraints can be placed on the problem to limit the region where you look for a solution. In other words, you try to find the smallest value of the function that also satisfies the constraints. Let’s discuss how … Read more

2 – L4 02 What Is Optimization V2

Previously, we studied the set of all portfolios and we know we’re particularly interested in portfolios with the highest possible return given the volatility in returns. How do we find the highest returns then? Well, this is a type of problem known as an Optimization Problem, you may have encountered this before. Intuitively optimization means … Read more

1 – L4 01 Intro V1

In this lesson, you’ll learn strategies for optimizing returns on your portfolio. That is to say getting the best possible combination of risk and return. Portfolio optimization consists of a diverse array of widely utilized and actively research techniques. In this and future lessons, we’re going to take you from the very basics, all the … Read more