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Quadratic Risk Optimizer using Cost Linearization with Python CVXOPT
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Quadratic Risk Optimizer using Cost Linearization with Python CVXOPT

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HangukQuant
Mar 24, 2023
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HangukQuant Research
HangukQuant Research
Quadratic Risk Optimizer using Cost Linearization with Python CVXOPT
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In the previous post, we talked about factor modelling and factor hedging for risk-attribution and risk analysis.

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Factor Modelling and Hedging Formulations (Market Notes, 300 + 25 pages)
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2 years ago · 4 likes · HangukQuant

We want to continue the discussion on portfolio management, and talk abit about dynamic signal weighting problems. We start with the core tool of quadratic optimizations.

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Quadratic Risk Linear Cost 1
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