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@dppalomar

Daniel P. Palomar

dppalomar
Clear Water Bay, Hong Kong

I am a Professor at HKUST focusing on practical optimization methods. I am an author, co-author, and maintainer of several R packages related to financial data modeling (e.g., fitHeavyTail, imputeFin) and portfolio design/backtesting (e.g., riskParityPortfolio, sparseIndexTracking, portfolioBacktest).

Check my book A Signal Processing Perspective of Financial Engineering and my monograph Optimization Methods for Financial Index Tracking.

For details on my research check my personal website.

1 sponsor has funded dppalomar’s work.

@mirca

Featured work

  1. dppalomar/sparseIndexTracking

    Design of Portfolio of Stocks to Track an Index

    HTML 48
  2. dppalomar/riskParityPortfolio

    Design of Risk Parity Portfolios

  3. dppalomar/portfolioBacktest

    Automated Backtesting of Portfolios over Multiple Datasets

  4. dppalomar/imputeFin

    Imputation of Financial Time Series with Missing Values and/or Outliers

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