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Deep Portfolio Theory
J. B. Heaton / J. H. Witte / N. G. Polson
portfolio management / portfolio optimizationResource overview

Deep Portfolio Theory

Paper2016

by J. B. Heaton, J. H. Witte, N. G. Polson

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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