Course Index
Optimization Lessons
Portfolio optimization from formulation to duals, one lesson at a time.
Lessons
- Formulate a Portfolio Optimizer
- Portfolio Risk as a Quadratic Form
- Constraints Define the Feasible Set
- KKT and Shadow Prices
- Stationarity Finds the Dual
- Read Solver Duals
- Run a Tiny Portfolio QP
- Upper and Lower Bound Duals
- Cap Sensitivity from Duals
- Duals Decay as Caps Relax
- Convexity: Why Local Is Global
- The Turnover Penalty and the No-Trade Zone
- The Turnover Budget and Its Dual
- The Lagrangian: Prices Replace Walls
- Absolute Value Is Two Lines: The Buy/Sell Split
- Factor Exposure Walls: Cap the Theme, Not the Name
- Factor Risk Models: 125,250 Parameters You Don't Have
- The Error Maximizer: Alpha Uncertainty and Robust Weights
- Project: Build the Single-Period Optimizer
- Trades Have Schedules: The Multiperiod State
- Capstone Read: The Multi-Period Trading Paper
Reference
- Optimization Formulation Glossary
- Portfolio Risk as a Quadratic Form
- Portfolio Constraint Patterns
- KKT and Dual Variables
- Stationarity for an Upper Bound
- Solver Dual Diagnostics
- CVXPY Portfolio Template
- Bound Dual Cheat Sheet
- Dual Sensitivity Cheat Sheet
- Active-Set Sensitivity
- Convexity Cheat Sheet
- Turnover Penalty and No-Trade Zone
- Turnover Budget and Penalty Equivalence
- Lagrangian Recipe Card
- Absolute Value Recipe Card
- Factor Exposure Recipe Card
- Factor Risk Model Card
- Alpha Uncertainty Card
- Single-Period Optimizer Project Card
- Multiperiod Notation Card
- Multi-Period Paper Decoder Card