Will Kurt • 8/8/2022

Modern Portfolio Theory and Optimization with JAX

Read Original

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.

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

Comments

No comments yet

Be the first to share your thoughts!

Browser Extension

Get instant access to AllDevBlogs from your browser

Top of the Week

1
Quoting Thariq Shihipar
Simon Willison • 2 votes
2
Using Browser Apis In React Practical Guide
Jivbcoop • 2 votes
3
Top picks — 2026 January
Paweł Grzybek • 1 votes
4
In Praise of –dry-run
Henrik Warne • 1 votes
5
Deep Learning is Powerful Because It Makes Hard Things Easy - Reflections 10 Years On
Ferenc Huszár • 1 votes
6
Vibe coding your first iOS app
William Denniss • 1 votes
7
AGI, ASI, A*I – Do we have all we need to get there?
John D. Cook • 1 votes
8
Dew Drop – January 15, 2026 (#4583)
Alvin Ashcraft • 1 votes