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Paper / 2025SMQ / 184388989465622
Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms
Duy Khanh Lam
portfolio management / portfolio optimizationResource overview

Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms

Paper2025

by Duy Khanh Lam

Tags
portfolio managementportfolio 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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