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Efficient Frontier

Video

by Jonathon Emerick

Tags
portfolio optimizationquantitative financeyoutube playlist

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Build the foundations

Suggested foundations for portfolio construction. Specialist prerequisites vary by resource.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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