ADG Capital Management LLP
Boris Gnedenko joined ADG Capital Management LLP in 2013 as a portfolio manager of a systematic global macro investment strategy. Prior to joining ADG Boris spent 4 years as Head of Investment Management at Sberbank (Russia). Boris also founded the SmartFolio project, which resulted in the creation of a widely used investment software application solving advanced portfolio optimization problems. Boris graduated from Moscow State University in 1997 with a master's degree in mathematics (diploma with distinction). In 2006 he obtained a PhD in mathematical finance from the Central Economics and Mathematics Institute of the Russian Academy of Sciences.
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.