O'Reilly logo

Mastering Python for Finance by James Ma Weiming

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Linear optimization

In the CAPM and APT pricing theories, we assumed linearity in the models and solved for expected security prices using regressions in Python.

As the number of securities in our portfolio increases, certain limitations are introduced as well. A portfolio manager would find himself constrained by these rules in pursing certain objectives mandated by investors.

Linear optimization helps you overcome the problem of portfolio allocation. Optimization focuses on minimizing or maximizing the value of the objective functions. The examples are maximizing returns and minimizing volatility. These objectives are usually governed by certain regulations, such as no short-selling rule, limits on the number of securities to be invested, and ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required