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Commodities for the Long Run
Ari Levine / Caroline Sasseville / Yao Hua Ooi
commoditiesResource overview

Commodities for the Long Run

Paper2018

by Ari Levine, Caroline Sasseville, Yao Hua Ooi

Tags
commodities

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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.

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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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