Wolfram U

Optimization of Portfolios and Investments

Estimated Time: 59 min

Course Level: Advanced


There are many ways to optimize portfolios. In this video lesson, you will use built-in Wolfram Language functions to create optimal asset mixes for portfolios with certain sets of risk tolerance. The optimization functions used in the demonstrated analysis include quadratic optimization, conic optimization, linear optimization, linear fractional optimization and second-order cone optimization. The lesson also discusses performance metrics, such as asset correlation and forecasted returns, to evaluate a portfolio.

Featured Products & Technologies: Wolfram Language (available in Mathematica and Wolfram|One)

You'll Learn To

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