7. Risk Factor Views

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

The video goes through the eighth example, which shows you how you can use Entropy Pooling² to implement (discretionary) views and stress-test for fully general risk factor and return distributions.

The risk factor computations will also be used in next week’s video, where the Causal and Predictive Market Views and Stress-Testing framework³ will be presented.

For a deep and pedagogical walkthrough of the investment framework and methods, see Portfolio Construction and Risk Management book⁴.

You can still contribute to the project and get perks for your contribution at: https://igg.me/at/pcrm-book⁵

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 YouTube⁶ if you prefer watching it there.

1. GitHub repository for the fortitudo.tech Python package: https://github.com/fortitudo-tech/fortitudo.tech

2. Entropy Pooling Collection: https://antonvorobets.substack.com/p/entropy-pooling-collection

3. Causal and Predictive Market Views and Stress-Testing SSRN article: https://ssrn.com/abstract=4444291

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

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

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