1. CVaR and Entropy Pooling

This is the second video that goes through the fortitudo-tech Python package available at: https://github.com/fortitudo-tech/fortitudo.tech¹

The video goes through the first example with basic usage of CVaR portfolio optimization and Entropy Pooling².

For a deep and pedagogical walkthrough of the investment framework and methods, see Portfolio Construction and Risk Management book³.

You can still contribute to the project and get perks for your contribution by becoming a paid subscriber to this publication, which will give you access to the Applied Quantitative Investment Management course and the expanding collection of exclusive case studies.

Watch the next video here:

This video is also available on YouTube⁴ if you prefer watching it there.

1. GitHub repository for the fortitudo.tech Python package: https://github.com/fortitudo-tech/fortitudo.tech

2. CVaR and Entropy Pooling fortitudo-tech Python example: https://github.com/fortitudo-tech/fortitudo.tech/blob/main/examples/1_MeanCVaR_EntropyPooling.ipynb

3. Portfolio Construction and Risk Management Book latest PDF: https://antonvorobets.substack.com/p/pcrm-book

4. fortitudo.tech Python package walkthrough YouTube playlist: https://www.youtube.com/playlist?list=PLfI2BKNVj_b2rurUsCtc2F8lqtPWqcs2K