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A Cross-Sectional Performance Measure for Portfolio Management
Dominique Guegan / Ludovic Calès / Monica Billio
portfolio managementResource overview

A Cross-Sectional Performance Measure for Portfolio Management

Paper2010

by Dominique Guegan, Ludovic Calès, Monica Billio

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portfolio management

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

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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