All events
WorkshopTBDTBD
Portfolio Construction Workshop
Apply expected returns, variance, covariance, and correlation to portfolio construction.
Prerequisites: Basic probability and familiarity with calculating returns from price data; basic linear algebra is helpful
- Portfolio return, variance, and covariance
- Equal weighting, minimum variance, and constrained mean-variance optimization
- Covariance estimates, constraints, and estimation error
- Turnover, transaction costs, and out-of-sample evaluation