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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.


PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaRCreates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis