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9. Portfolio Optimization and Parameter Uncertainty

The eleventh video that goes through the fortitudo-tech Python package available at: https://github.com/fortitudo-tech/fortitudo.tech

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

The video goes through the tenth example, which is the accompanying code to the Portfolio Optimization and Parameter Uncertainty SSRN article2.

See also the derivatives and risk factor extension in this post3.

For an overview of resampled portfolio optimization, see this Substack post4.

For a deep and pedagogical presentation of the Resampled Portfolio Stacking approach, see Portfolio Construction and Risk Management book5.

You can still contribute to the project and get perks for your contribution at: https://igg.me/at/pcrm-book6

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 YouTube7 if you prefer watching it there.

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1

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

2

Portfolio Optimization and Parameter Uncertainty SSRN article: https://ssrn.com/abstract=4709317

3

10. Derivatives Portfolio Optimization and Parameter Uncertainty post: https://antonvorobets.substack.com/p/10-derivatives-portfolio-optimization-parameter-uncertainty

4

Portfolio Optimization and Parameter Uncertainty post: https://antonvorobets.substack.com/p/portfolio-optimization-and-parameter

5

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

6

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

7

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