MAFS5310 - Portfolio Optimization with R (MSc in Financial Mathematics - MAFM)

Explores Markowitz portfolio theory and modern extensions in depth — robust methods, risk parity, index tracking, and high-order portfolios — with weekly R programming sessions and a live portfolio game throughout the semester. [Syllabus]

Uses the dedicated textbook Portfolio Optimization: Theory and Application (Cambridge University Press, 2025).

The Hong Kong University of Science and Technology (HKUST)
Fall 2025-26
Prof. Daniel P. Palomar