by Feifei Li, Jason C. Hsu, Robert D. mname Arnott, Shane D. Shepherd
Continue on SelfMadeQuant
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.