This is the third video that goes through the fortitudo-tech Python package available at: https://github.com/fortitudo-tech/fortitudo.tech1
The video goes through the second example which replicated the Entropy Pooling results for the original approach2 from the Sequential Entropy Pooling Heuristics article3.
For a deep and pedagogical walkthrough of the investment framework and methods, see Portfolio Construction and Risk Management book4.
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:
2. Sequential Entropy Pooling
This is the fourth video that goes through the fortitudo-tech Python package available at: https://github.com/fortitudo-tech/fortitudo.tech
This video is also available on YouTube5 if you prefer watching it there.
GitHub repository for the fortitudo.tech Python package: https://github.com/fortitudo-tech/fortitudo.tech
CVaR and Entropy Pooling fortitudo-tech Python example: https://github.com/fortitudo-tech/fortitudo.tech/blob/main/examples/1_MeanCVaR_EntropyPooling.ipynb
Sequential Entropy Pooling Heuristics SSRN article: https://ssrn.com/abstract=3936392
Portfolio Construction and Risk Management Book latest PDF: https://antonvorobets.substack.com/p/pcrm-book
fortitudo.tech Python package walkthrough YouTube playlist: https://www.youtube.com/playlist?list=PLfI2BKNVj_b2rurUsCtc2F8lqtPWqcs2K
