Grinold, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk reviews the following concepts:
Chapter 14: Portfolio Construction
Inputs to the Portfolio Construction Process
Refining Alphas in the Implementation Process
Neutralization and Refining Alphas to be Neutral
Implications of Transaction Costs on Portfolio Construction
Practical Issues in Portfolio Construction
Portfolio Revisions and Rebalancing
Rebalancing With Transaction Costs
Portfolio Construction Techniques
Dispersion