In this chapter, we focus on portfolio construction. In particular, we present details of the classical mean–variance approach, including principles, algorithms, and examples of a long only and a market neutral long-short portfolio. We also discuss backtesting...
CITATION STYLE
Ma, L. (2020). Portfolio Construction: From Alpha/Risk to Portfolio Weights. In Quantitative Investing (pp. 285–337). Springer International Publishing. https://doi.org/10.1007/978-3-030-47202-3_7
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