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Paper / 2024SMQ / 275318437245591
Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms
Duy Khanh Lam
portfolio managementResource overview

Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms

Paper2024

by Duy Khanh Lam

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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