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Relative portfolio optimization via a value at risk based constraint
Nicole Bäuerle / Tamara Göll
optimization / portfolio managementResource overview

Relative portfolio optimization via a value at risk based constraint

Paper2025

by Nicole Bäuerle, Tamara Göll

Tags
optimizationportfolio managementportfolio optimizationprobability

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Understand this paper

Suggested foundations for portfolio construction and risk measurement and stress. 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.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

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