Portfolio Construction

objective

Construct implementable portfolios that balance alpha, risk, and transaction costs.

workflow

1. define alpha inputs, risk model, and operational constraints.
2. optimize weights with turnover, liquidity, and exposure limits.
3. run pre-trade impact and transaction-cost adjustments.
4. validate post-optimization exposures and stress performance.
5. deploy only when implementation feasibility and mandate compliance pass.

required diagnostics

• active risk attribution and factor exposure drift.
• turnover and impact cost decomposition.
• liquidity utilization and capacity diagnostics.
• rebalance stability under small signal perturbations.
• mandate compliance exception rate.