10. Derivatives Portfolio Optimization and Parameter Uncertainty

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

The video goes through the eleventh example, which is the accompanying code to the Derivatives Portfolio Optimization and Parameter Uncertainty SSRN article².

See also last weeks post that introduced the fundamental Resampled Portfolio Stacking perspectives³.

For an overview of resampled portfolio optimization, see this Substack post⁴.

For a deep and pedagogical presentation of the Resampled Portfolio Stacking approach, see Portfolio Construction and Risk Management book⁵.

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 YouTube⁶ if you prefer watching it there.

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

2. Derivatives Portfolio Optimization and Parameter Uncertainty SSRN article: https://ssrn.com/abstract=4825945

3. 9. Portfolio Optimization and Parameter Uncertainty video post: https://antonvorobets.substack.com/p/9-portfolio-optimization-and-parameter-uncertainty

4. Portfolio Optimization and Parameter Uncertainty post: https://antonvorobets.substack.com/p/portfolio-optimization-and-parameter

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

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