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:
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
Enjoy!
