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.

risk controls

• •enforce hard exposure, turnover, and liquidity bounds.
• •enforce compliance checks before order generation.
• •enforce fallback allocation on optimizer failure.

outputs

• •run python scripts/portfolio_construction_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
• •write an implementation memo using references/portfolio-construction-playbook.md with assumptions, tests, limits, and rollout plan.

resources

• •use scripts/portfolio_construction_diagnostics.py for deterministic diagnostics.
• •use references/portfolio-construction-playbook.md for the domain checklist and delivery structure.