Reading Source: ERM-329-17 Study Note
Topics Covered in this Reading:
- The Chemistry of Asset Allocation
- Why Look at Risk Factors?
- The Basics of Portfolio Optimization
- What is an Asset Class?
- Modern Portfolio Theory and the Efficient Frontier
- Diversification in Name Only?
- Working with Factors
- Factor Exposures
- Deriving Factor Characteristics: Return, Risk and Correlation
- Constructing Factor Portfolios
- Challenges in Factor-Based Portfolio Construction
- Portfolio Applications
- De-Risking and LDI
- Using Factors Within Manager Structure
- Next Steps in Asset Allocation