This video contains a walkthrough of the Conditional Maximum Loss Portfolio Optimization article by Kristensen and Vorobets (2026) and its accompanying Python code.
Conditional Maximum Loss (CML) is a recently introduced investment risk measure specifically designed for the Fully General Investment Framework (FGIF).
The FGIF is thoroughly presented in the Portfolio Construction and Risk Management book as well as the Applied Quantitative Investment Management course.
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This video is a part of the fortitudo.tech Python package walkthrough video series. You can watch the previous video of this playlist in the post below:
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