by David Quintana, Francisco Luna, Pedro Isasi, Sandra García
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Suggested foundations for portfolio construction and optimisation and numerical methods. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Identify the objective, constraints and conditions for an optimum.
Read the linear algebra used to define a numerical problem.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Understand identifiability and fitted model parameters.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.