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29 active equity investing: portfolio construction (others (the merits of…
29 active equity investing:
portfolio construction
building blocks
fundamentals of portfolio construction
building blocks used
approaches
the implementation process: choose
systematic vs discretionary
bottom-up vs top-down
summary
active share and active risk
the implementation process: objectives and constrains
allocating the risk budget
absolute vs relative measures of risk
causes and sources of absolute risk
causes and sources of relative / active risk
determining the appropriate level of risk
implementation constrains
limited diversification opportunities
leverage and its implications for risk
allocating the risk budget
additional risk measures
heuristic constraints
formal constraints
the risks of being wrong
implicit cost-related considerations
implicit costs - market impact and the relevance
estimating the cost of slippage
the well-constructed portfolio
others
the merits of long-only investing
long / short portfolio construction
long extension portfolio construction
market-neutral portfolio construction
the benefits and drawbacks of long / short strategies