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Does Past Performance Matter in Investment Manager Selection?
Bradford Cornell / David Nanigian / Jason C. Hsu
portfolio managementResource overview

Does Past Performance Matter in Investment Manager Selection?

Paper2017

by Bradford Cornell, David Nanigian, Jason C. Hsu

Tags
portfolio management

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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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