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Deactivating Active Share
Andrea Frazzini / Jacques A. Friedman / Lukasz Pomorski
mutual fundsResource overview

Deactivating Active Share

Paper2016

by Andrea Frazzini, Jacques A. Friedman, Lukasz Pomorski

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mutual funds

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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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