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Stock Market Data Scenario Set Generation – S&P 100

August 5, 2019

I just love to create portfolio optimization models based on Optimization theory and such models require a well-defined return scenario set which is nothing more than a matrix where we have a joint possible set of returns of all our assets under consideration. The easiest way is to use historical data for this purpose. While it is dangerous to...

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R Package modopt.matlab – MatLab-style matrix-based optimization modeling in R

December 25, 2018

Introduction Besides Deep Learning (in the realm of Data Science and AI) there is another scientific and applied area where people always seem to prefer Python over R and this is: Optimization (in the realm of Decision Science). Luckily there are two very good optimization modeling frameworks for R available, namely CVXR and ompr. If you require a quick...

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