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Post trade allocation: how much are bunched orders costing your performance?
Ali Hirsa / Massoud Heidari
portfolio managementResource overview

Post trade allocation: how much are bunched orders costing your performance?

Paper2022

by Ali Hirsa, Massoud Heidari

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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