Grinold, Chapter 14: Portfolio Construction Study Notes contains 18 pages covering the following learning objectives:
Distinguishing among the inputs to the portfolio construction process.
The methods and motivation for refining alphas in the implementation process.
Neutralization and methods for refining alphas to be neutral.
The implications of transaction costs on portfolio construction.
Assessing the impact of practical issues in portfolio construction such as determination of risk aversion, incorporation of specific risk aversion, and proper alpha coverage.
Portfolio revisions and rebalancing and evaluating the tradeoffs between alpha, risk, transaction costs and time horizon.
The optimal no-trade region for rebalancing with transaction costs.
The strengths and weaknesses of the following portfolio construction techniques: screens, stratification, linear programming, and quadratic programming.
Dispersion, explaining its causes and describing methods for controlling forms of dispersion.
After reviewing the notes you will be able to apply what you learned with practice questions.Shop Courses