What is portfolio construction? 

Let me start in the correct order:

Setting your Goals

Making your Investment Philosophy Statement

Understanding Asset allocation

Next step is Portfolio construction.

Once you have decided to do Goal Based Investing, set your goals, made your Investment philosophy statement and understood the need for asset allocation, you are ready for constructing your own portfolio.

1. Decide on what should be your asset allocation for you TODAY: asset allocation is a dynamic concept. So if you have a goal that is 10 years away you many have decided on an asset allocation of 90% equity and about 10% in debt. After 3 years you may want to be 70% in equity and 30% in debt. So making the changes on the way is a part of portfolio construction. Lesson #1 – portfolio construction is a process not a product that you do once and open it after 10 years.
2. See what kind of an investor you are – and see how YOU behaved when there was a melt down. See how you behaved in 1999. How you behaved in 2003, how you behaved in 2007 as well as how you behaved in 2008. YOUR BEHAVIOR should decide whether you are a conservative, aggressive, patient, investor or a trader wearing the mask of an investor.
3. If your goals are aggressive and the time frame short, you will either have to ALLOCATE more money to that goal, or DOWNSIZE your goals. Expecting that you will be able to get a higher ‘r’ in the short term in the equity market is amazingly common and very stupid and foolish.
4. Picking the appropriate shares, bonds, equity funds, balanced funds, and bond funds is a very important part of the construction process.
5. Constantly assessing portfolio weights: large cap, mid cap, debt, equity, – all of them have a role in your portfolio. Let the past experience be a guide, not a fixed map from which you will not divert.
6. Write down what you expect each investment, target price, etc. and act when needed.

http://www.subramoney.com/2015/04/steps-to-portfolio-construction/