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Create Better Diversified High-Conviction Equity Portfolios Using the Portfolio Diversification Index
Dominiek P. Crezée / Laurens A. P. Swinkels
portfolio management / portfolio optimizationResource overview

Create Better Diversified High-Conviction Equity Portfolios Using the Portfolio Diversification Index

Paper2010

by Dominiek P. Crezée, Laurens A. P. Swinkels

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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