Free module · Research & investment
Portfolio Construction & Factors
Combine forecasts into a book whose risks you can explain and constrain.
allocation · factors · attribution
The building blocks
A portfolio is a collection whose risks interact. Study how two holdings move together before optimizing many weights.
- Calculate a weighted return
- Measure shared risk
- Set joint exposure and turnover constraints
Lessons in this module
- Separate alpha from compensated exposures
- Optimise under realistic constraints
- Allocate risk, not just capital
- Explain results and marginal diversification
Practice and apply
- Two sleeves and a volatility target — Equal capital weights. Annual volatilities 10% and 20%; correlation 0.25. Target portfolio volatility is 8%. Ignore costs and caps for this example.
Work through the practice exercises · Quant development tools