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Paper / 2024SMQ / 223953393171301
Optimal Investment with Herd Behaviour Using Rational Decision Decomposition
H. Vicky Zhao / Huisheng Wang
optimizationResource overview

Optimal Investment with Herd Behaviour Using Rational Decision Decomposition

Paper2024

by H. Vicky Zhao, Huisheng Wang

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optimization

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Suggested foundations for optimisation and numerical methods and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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