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Paper / 2008SMQ / 98073885266506
Optimal Asset Allocation with Factor Models for Large Portfolios
Pesaran, M.H. / Zaffaroni, P.
portfolio optimizationResource overview

Optimal Asset Allocation with Factor Models for Large Portfolios

Paper2008

by Pesaran, M.H., Zaffaroni, P.

Tags
portfolio 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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