smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2020SMQ / 216557599581055
You Can't Always Trend When You Want
Abhilash Babu / Ari Levine / Sarah Schroeder / Yao Hua Ooi
performance attribution / trend followingResource overview

You Can't Always Trend When You Want

Paper2020

by Abhilash Babu, Ari Levine, Sarah Schroeder, Yao Hua Ooi

Tags
performance attributiontrend following

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

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.

Explore a related reading path

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

Explore Portfolio Theory and Quantitative Investment

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Abhilash Babu, Ari Levine, Sarah Schroeder, Yao Hua Ooi

6