Robust-and-Stochastic-Portfolio-Optimization

National Tsing Hua Univeristy 2021 Fall

Instructor : Professor Chung-Han,Hsieh

• One of the most amazing course that I have taken in my life.

Course Inforamtion : https://sites.google.com/a/wisc.edu/chhsieh/home/teaching/robust-and-stochastic-portfolio-optimization?authuser=0

Assignment

Assignment 01 (Optimization Model and Some Preliminaries)

Assignment 02 (Convex Sets)

Assignment 03 (Convex Functions)

Assignment 04 (Convex Optimization)

Assignment 05 (Robust and Stochastic Portfolio Optimization)

Assignment 06 (Black-Litterman and Factor Models)

Assignment 07 (On Coerciveness and Coherent Risks)

Course Syllabus

Part 1: Review: Convex Optimization

• Convex Sets

• Convex Functions

• Convex Optimization Problems

• Optimization Under Uncertainty

Part 2: Classical Portfolio Optimization and Extensions

• Portfolio Selection Problem

• Optimal Portfolio Growth Problem

• Various Portfolio Risk Constraints

Part 3: Robust Parameter Estimation

• Forecasting Expected Return and Risk

• Robust Estimation

• The Black-Litterman Model

Part 4: Robust and Stochastic Portfolio Optimization

• Robust Portfolio Allocation

• Portfolio Selection and Rebalancing As a Stochastic Control Problem

Part5: Special Topis

• Special Topic: Stochastic Drawdown Risks

• Special Topic: Chance Constrained Optimization

• Special Topic: Distributional Robust Optimization

Example Programming HW