Practice Question Set: Grinold, Chapter 14: Portfolio Construction

Grinold, Chapter 14: Portfolio Construction Practice Question Set contains 7 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.

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