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Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization
David Quintana / Pedro Isasi / Sandra García-Rodríguez / Silvano Cincotti
optimization / portfolio optimizationResource overview

Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization

Paper2015

by David Quintana, Pedro Isasi, Sandra García-Rodríguez, Silvano Cincotti

Tags
optimizationportfolio optimization

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Suggested foundations for portfolio construction and optimisation and numerical methods. 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

    Identify the objective, constraints and conditions for an optimum.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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