by Lukasz Pomorski, Peter Diep, Scott A. Richardson
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Suggested foundations for rates and fixed income and portfolio construction. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Construct allocations and examine sensitivity to estimated inputs.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.