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A Global Optimal Theory of Portfolio beyond R-$σ$ Model
Shi-Dong Liang / Yifan Liu
portfolio management / portfolio optimizationResource overview

A Global Optimal Theory of Portfolio beyond R-$σ$ Model

Paper2026

by Shi-Dong Liang, Yifan Liu

Tags
portfolio managementportfolio optimization

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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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