by Emmanuel Thibault, Hippolyte d'Albis
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Suggested foundations for portfolio construction and rates and fixed income. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Build a consistent discount curve.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.