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 book at: https://igg.me/at/pcrm-book²

Find the latest update on the Portfolio Construction and Risk Management book here³.

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 to this publication when the book is finished. This paid 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 post⁴.

This video is also available on YouTube⁵ 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 crowdfunding: https://igg.me/at/pcrm-book

3. Portfolio Construction and Risk Management Foundation: https://antonvorobets.substack.com/p/portfolio-construction-and-risk-management-foundation

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

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