Collected study materials in Numerical Optimization ANU@MATH3514(HPC)
numerical-methods numerical-optimization convex-optimization electronic-books boyd convex-optimisation
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May 6, 2019
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convex-optimisation
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This repository provides a comparative study of many variants of portfolio allocation models and their robust counterparts. Instead of relying solely on estimated inputs—such as expected returns or risk measures— robust portfolio optimization allocates portfolios that remain effective across a predefined set of plausible market conditions.
julia-language performance-metrics robust-optimization performance-testing risk-management portfolio-allocation convex-optimisation mixture-models second-order-cone-programming
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Jun 12, 2025 - Jupyter Notebook
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