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Paper / 2024SMQ / 170253962977696
Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times?
Charles Fattouche / Chris Doheny / Erik Wong / Michele L. Aghassi
hedge fundsResource overview

Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times?

Paper2024

by Charles Fattouche, Chris Doheny, Erik Wong, Michele L. Aghassi

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hedge 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.

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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