Convex Optimization in Quantitative Finance

Slides and code, June 2024.

• Slides

• Code

In these slides we give many examples of problems in quantitative finance that can be solved using convex optimization. The examples are simple, but readily extended to more practical versions that include additional objective terms or constraints. For each example we give CVXPY code, illustrating how simple it is to specify and solve the convex problems. The associated open-source code repository contains all code and data needed to recreate the example results.