by Christian Tezza, Luca Vincenzo Ballestra
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Suggested foundations for optimisation and numerical methods and asset pricing and factor research. Specialist prerequisites vary by paper.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Understand identifiability and fitted model parameters.
Separate model error from unstable numerical computation.
Connect factor definitions to portfolio construction.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.