by Max Menzies, Nick James
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Suggested foundations for portfolio construction and asset pricing and factor research. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Connect factor definitions to portfolio construction.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.