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 theory, you can get access to the Portfolio Construction and Risk Management³ book at: https://igg.me/at/pcrm-book⁴

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 post⁵.

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

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

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

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

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