Course Complete

This is the October edition of the Portfolio Construction newsletter, giving an overview of the Applied Quantitative Investment Management lectures.

Overview of the latest lectures of the Applied Quantitative Investment Management course.

The Applied Quantitative Investment Management course is now complete.

The course carefully goes through the Portfolio Construction and Risk Management book and its accompanying Python code.

You can watch the first lecture for free here.

As a paid subscriber, you have full access to the lectures and other paid content as well as asking me questions through the Substack chat.

Make sure to check out the popular LinkedIn posts recap at the bottom of this newsletter. There is a link to a recent interview with me at the bottom.

The future of the Quantamental Investing publication

Going forward, I plan to share a post once every week. Every month, one of these posts will be an advanced application of the next-generation investment framework for paid subscribers.

You can get an overview of the existing paid content here. To ensure that you get access at the best price, it is recommended to subscribe as early as possible.

Applied Quantitative Investment Management lectures

Below is an overview of the 12 lectures. If you have any questions after studying them, please ask me through the Substack chat or by posting comments for the specific lecture post.

Posts recap

Below is a recap of the most important LinkedIn posts since last newsletter.

Lecture 9 on advanced portfolio optimization:

https://www.linkedin.com/posts/antonvorobets_lecture-9-portfolio-optimization-activity-7369349793581608962-HqEP

Exposing the “investment risk measure does not matter” claim:

https://www.linkedin.com/posts/antonvorobets_exposing-the-investment-risk-measure-does-activity-7369718662825467905-i2Ye

Update on the physical version of the Portfolio Construction and Risk Management book:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7371159723653443584-74dZ

Lecture 10 about resampled portfolio optimization:

https://www.linkedin.com/posts/antonvorobets_lecture-10-resampled-portfolio-optimization-activity-7371886656368476160-5oX4

How to combine a Markov Regime Switching model with resampling for high-dimensional investment simulation:

https://www.linkedin.com/posts/antonvorobets_time-and-state-dependent-resampling-article-activity-7373682618149638145-f1QX

Lecture on derivatives portfolio optimization with fully general parameter uncertainty:

https://www.linkedin.com/feed/update/urn:li:activity:7374424885823107072?utm_source=share&utm_medium=member_desktop&rcm=ACoAAAwLLvIB4t8xEy5_e-ydYxOSqnnlurk6tco

An issue with drawdown portfolio optimization:

https://www.linkedin.com/posts/antonvorobets_an-issue-with-drawdown-portfolio-optimization-activity-7376221197744717824-jWX8

Lecture 12 about tail risk hedging and analysis:

https://www.linkedin.com/posts/antonvorobets_lecture-12-tail-risk-hedging-and-analysis-activity-7376974021009154048-YUqG

Feedback on Chapter 5 of the Portfolio Construction and Risk Management book:

https://www.linkedin.com/posts/antonvorobets_chapter-5-market-views-and-stress-testing-activity-7378771521420308481-MTxW

Quant Conversations with Quant Enthusiasts:

https://www.linkedin.com/posts/johannes-meyer-young-and-calculated_quantfinance-riskmanagement-machinelearning-activity-7378862634986668033-d5Jx