by Marcos Escobar-Anel, Rudi Zagst, Yevhen Havrylenko
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Suggested foundations for optimisation and numerical methods and portfolio construction. Specialist prerequisites vary by paper.
Read the linear algebra used to define a numerical problem.
Read objectives, constraints and optimality conditions.
Understand the covariance structure of portfolio risk.
Understand identifiability and fitted model parameters.
Separate model error from unstable numerical computation.
Construct allocations and examine sensitivity to estimated inputs.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.