Will Kurt • 8/8/2022

Modern Portfolio Theory and Optimization with JAX

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This article provides a deep dive into Modern Portfolio Theory, explaining how to model stock price movements and optimize asset allocation. It demonstrates the process using JAX for differentiable programming, covering data transformation to log returns, modeling with multivariate normal distributions, and solving the optimization problem to balance risk and reward.

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#optimization #Jax #Financial Modeling
Modern Portfolio Theory and Optimization with JAX

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