Module VII — Constrained Cointegration

Status: outline. Lecture body not authored.

Financial constraints as the bridge from econometrics to portfolio engineering (COINMAN-style):

1' w = 0          dollar neutrality
β_market' w = 0  beta neutrality
F' w = 0          factor neutrality

Unique process — Neutrality is a constraint, not a diagnostic

Dollar / beta / factor neutrality are imposed on w, not inferred after the fact.