quantumquirkxyz Contract
- Input: problem description and inputs defined by the skill body.
- Output: Markdown artifact with completed process steps.
- Side effects: none.
- Dependencies: none.
- Stop condition: all process steps executed; artifact saved with required sections.
- Risk: low.
- Boundary: produces reasoning artifact only; no system changes.
Portfolio Theory
Apply Modern Portfolio Theory — efficient frontier, CAPM, APT, performance attribution — with explicit assumptions and regime analysis.
When to use
- The user wants to understand portfolio construction theory.
- CAPM / factor models are used for expected returns or risk attribution.
- Performance attribution or benchmark comparison is needed.
Process
- Define universe — assets, time window, currency.
- Compute moments — expected returns (historical, factor, or blended), covariance matrix (shrinkage justified), correlations.
- Efficient frontier — compute frontier; identify minimum-variance portfolio, tangency portfolio, and efficient set.
- CAPM / APT — estimate beta for each asset; APT: factor exposures (Fama-French 3/5, momentum, quality).
- Performance attribution — Brinson-Hood-Beebower: allocation, selection, interaction effects.
- Regime analysis — does the factor model / efficient frontier hold across economic regimes?
- Deliver — artifact: efficient frontier, CAPM betas / APT factor exposures, attribution decomposition, and a note on model assumptions and regime robustness.