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 presentation of Entropy Pooling and the causal views and stress-testing framework, you can get access to the Portfolio Construction and Risk Management book at: https://igg.me/at/pcrm-book⁴

Find the latest update on the Portfolio Construction and Risk Management book here⁵.

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 post⁶.

This video is also available on YouTube⁷ 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 crowdfunding: https://igg.me/at/pcrm-book

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

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

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