2. Entropy Pooling

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 theory, you can get access to the Portfolio Construction and Risk Management⁴ book at: https://igg.me/at/pcrm-book⁵

Note that if you contribute €100 or more to the Portfolio Construction and Risk Management book, you will get one-year complimentary paid Substack subscription (currently valued at €50) when the book is finished. This Substack subscription will give you access to exclusive case studies that use the investment framework from the book.

To see how the Portfolio Construction and Risk Management book is different from what is otherwise available, see this Substack post⁶.

This video is also available on YouTube⁷ 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. Sequential Entropy Pooling Heuristics SSRN article: https://ssrn.com/abstract=3936392

4. eBook, Python code, and one-year paid subscription Substack post: https://antonvorobets.substack.com/p/ebook-python-code-and-one-year-paid

5. Portfolio Construction and Risk Management book crowdfunding: https://igg.me/at/pcrm-book

6. Portfolio Construction and Risk Management Book Substack post: https://antonvorobets.substack.com/p/portfolio-construction-and-risk-management-book-91526e1c0c17

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