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Paper / 2003SMQ / 35833870084890
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses
Sancetta, A. / Satchell, S.E.
portfolio managementResource overview

Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses

Paper2003

by Sancetta, A., Satchell, S.E.

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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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