Generalizing, there are 3 problems: 1- Alpha prediction (forecasting a return for each asset) 2- Portfolio Construction 3- Portfolio realization - trading I

Generalizing, there are 3 problems: 1- Alpha prediction (forecasting a return for each asset) 2- Portfolio Construction 3- Portfolio realization - trading I was referring to problem #2, which assumes you have a priori alpha forecasts and the relative confidence of those forecasts. In the general portfolio construction problem, the past mean returns of stocks is taken to be the future return.