6. Exponential Decay Model

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

The video goes through the seventh example, which presents the exponential decay risk modeling functionality.

For an extension of this model that allows you to introduce state-conditioning and generate new synthetic market samples, see the Fully Flexible Resampling method in the Portfolio Construction and Risk Management book².

You can still contribute to the project and get perks for your contribution at: https://igg.me/at/pcrm-book³

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 €100) from February 17, 2025. This Substack subscription will give you access to exclusive case studies that use the investment framework from the book.

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. Portfolio Construction and Risk Management Book latest PDF: https://antonvorobets.substack.com/p/pcrm-book

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

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