Wolfram U

Optimization of Portfolios and Investments

Estimated Time: 59 min

Course Level: Advanced

Summary

There are many ways and tools to optimize portfolios. In this class, you will use built-in Wolfram Language functions to create optimal portfolio and asset mixes given certain sets of risk tolerance. The optimization functions used in this class include quadratic optimization, conic optimization, linear optimization, linear fractional optimization and second-order cone optimization. You will also analyze portfolio performance metrics, such as asset correlation and forecasted returns.

Featured Products & Technologies: Mathematica, Wolfram Finance Platform, Wolfram Language, Wolfram Notebooks

You'll Learn To

  • Access financial data and relevant functions from within the Wolfram Language
  • Analyze correlation within a portfolio
  • Simulate and forecast the value of a portfolio with a mix of assets
  • Optimize investment portfolios to maximize returns and profits while minimizing volatility and loss
  • Accommodate many types of portfolio constraints with your optimization functions
  • Model risk behaviors and their effects