Financial Econometrics Course: Portfolio Optimization

N.F. Katzke

Portfolio Optimization

Linear and Quadratic solvers in R

In this practical we explore portfolio optimization

This is an enormous field, so we will only cover it at a comparatively high level.

The practical contains links to various sources that might be useful if you want to explore this further.

Practical 3

See Youtube Video here

See this Bonus practical allowing you to do rolling window optimizations very efficiently:

Practical 3 Bonus

See this Detailed Example of building a MVO from first principles

Practical 3 Bonus 2

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Citation

For attribution, please cite this work as

Katzke (2025, Aug. 25). Financial Econometrics Course: Portfolio Optimization. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-07-practical-3/

BibTeX citation

@misc{katzke2025portfolio,
  author = {Katzke, N.F.},
  title = {Financial Econometrics Course: Portfolio Optimization},
  url = {https://www.fmx.nfkatzke.com/posts/2020-08-07-practical-3/},
  year = {2025}
}