Monday, June 19, 2023

New Portfolio Optimization Cookbook chapters and notebooks

We are happy to share that our Portfolio Optimization Cookbook has been updated and new chapters has been added. We have also added new notebooks with code examples.
The additions cover among other things:
  • CVaR
  • EVaR
  • Gaussian mixture return model
  • Risk budgeting
  • Robust optimization
  • Multiperiod optimization
As usual the new concepts are implemented in Mosek Fusion for Python