by Johannes Muhle-Karbe, Marcel Nutz, Xiaowei Tan
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Suggested foundations for asset pricing and factor research and optimisation and numerical methods. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Understand identifiability and fitted model parameters.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.