by Christian Zimpelmann, Matthias Wibral, Tilman H. Drerup
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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.