by Gerard, Bruno, Hillion, Pierre, Santis, Giorgio De
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Suggested foundations for portfolio construction and volatility models and surfaces. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Study a correlated stochastic-variance model.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.