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 by becoming a paid subscriber to this publication, which will give you access to the Applied Quantitative Investment Management course and the expanding collection of exclusive case studies.

Watch the next video here:

This video is also available on YouTube³ 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. fortitudo.tech Python package walkthrough YouTube playlist: https://www.youtube.com/playlist?list=PLfI2BKNVj_b2rurUsCtc2F8lqtPWqcs2K