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Modelling forward looking returns and combining traditional and alternative benchmarks
CFM
portfolio management / trend followingResource overview

Modelling forward looking returns and combining traditional and alternative benchmarks

Paper2016

by CFM

Tags
portfolio managementtrend following

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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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