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Rebuffed: An Empirical Review of Buffer Funds
Antti Ilmanen / Cliff Asness / Daniel Villalon / Jeffrey Cao
options hedgingResource overview

Rebuffed: An Empirical Review of Buffer Funds

Paper2025

by Antti Ilmanen, Cliff Asness, Daniel Villalon, Jeffrey Cao

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options hedging

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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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