Quantitative Portfolio Optimization

Expert guidance on implementing quantitative portfolio optimization techniques

In Quantitative Portfolio Optimization: Theory and Practice, renowned financial practitioner Miquel Noguer, alongside physicists Alberto Bueno Guerrero and Julian Antolin Camarena, who possess excellent knowledge in finance, delve into advanced mathematical techniques for portfolio optimization. The book covers a range of topics including mean-variance optimization, the Black-Litterman Model, risk parity and hierarchical risk parity, factor investing, methods based on moments, and robust optimization as well as machine learning and reinforcement technique. These techniques enable readers to develop a systematic, objective, and repeatable approach to investment decision-making, particularly in complex financial markets.

Readers will gain insights into the associated mathematical models, statistical analyses, and computational algorithms for each method, allowing them to put these techniques into practice and identify the best possible mix of assets to maximize returns while minimizing risk. Topics explored in this book include:

• Specific drivers of return across asset classes
• Personal risk tolerance and it#s impact on ideal asses allocation
• The importance of weekly and monthly variance in the returns of specific securities

Serving as a blueprint for solving portfolio optimization problems, Quantitative Portfolio Optimization: Theory and Practice is an essential resource for finance practitioners and individual investors It helps them stay on the cutting edge of modern portfolio theory and achieve the best returns on investments for themselves, their clients, and their organizations.

MIQUEL NOGUER ALONSO is a financial markets practitioner with 25+ years of experience in asset management. He is the Founder of the Artificial Intelligence Finance Institute and serves as Head of Development at Global AI. He is also the co-editor of the Journal of Machine Learning in Finance.

JULIÁN ANTOLÍN CAMARENA holds a Bachelor’s, Master’s and a PhD in physics. For his Master’s he worked on the foundations of quantum mechanics examining alternative quantization schemes and their application to exotic atoms to discover new physics. His PhD dissertation work was on computational and theoretical optics, electromagnetic scattering from random surfaces, and nonlinear optimization. He then went on to a postdoctoral stint with the U.S. Army Research Laboratory working on inverse reinforcement learning for human-autonomy teaming.

ALBERTO BUENO GUERRERO has two Bachelor’s degrees in physics and economics, and a PhD in banking and finance. Since he got his doctorate, he has dedicated himself to research in mathematical finance. His work has been presented at various international conferences and published in journals such as Quantitative Finance, Journal of Derivatives, Journal of Mathematics, and Chaos, Solitons and Fractals. His article “Bond Market Completeness Under Stochastic Strings with Distribution-Valued Strategies” has been considered a feature article in Quantitative Finance.