by Alexander Walter, Lukas Zimmer, Maxim Ulrich
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Suggested foundations for asset pricing and factor research and portfolio construction. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Construct allocations and examine sensitivity to estimated inputs.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.