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Paper / 2010SMQ / 276507139379022
A performance measure of Zero-dollar Long/Short equally weighted portfolios
Dominique Guegan / Ludovic Calès / Monica Billio
portfolio managementResource overview

A performance measure of Zero-dollar Long/Short equally weighted portfolios

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.

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  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

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  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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