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HangukQuant Research
836 pages; Applications of Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets
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836 pages; Applications of Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets

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HangukQuant
Sep 14, 2023
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HangukQuant Research
HangukQuant Research
836 pages; Applications of Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets
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In the last market notes, we studied duality in convex optimization:

819 pages; Dual Convex Problems + Asyncio; Quantitative and Qualitative Treatments to Capital Markets

819 pages; Dual Convex Problems + Asyncio; Quantitative and Qualitative Treatments to Capital Markets

HangukQuant
·
August 29, 2023
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This week, we take a look at the applications of convex optimization, looking at problem instances of norm approximation, least-norm, regularised and robust approximation problems, as well as parametric and non-parametric estimation methods.

We will add a few more notes on the algorithms for convex optimization, and then bring this topic to a close. We will continue with the beginner to advanced programming series for Python quant devs, and then try to implement portfolio optimization methods.

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