3. Mean-CVaR and Mean-Variance

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

The video goes through the fourth example which compares CVaR optimization to variance optimization.

It is the accompanying code to the Variance for Intuition, CVaR for Optimization article².

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 course⁵ 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. Variance for Intuition, CVaR for Optimization SSRN article: https://ssrn.com/abstract=4034316

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