This is the tenth lecture of the Applied Quantitative Investment Management course.
This lecture carefully goes through most of Section 6.4 from the Portfolio Construction and Risk Management book and its accompanying Python code.
This lecture presents Resampled Portfolio Stacking, including important perspectives on the stacking target.
It presents the fundamental perspectives from the Portfolio Optimization and Parameter Uncertainty SSRN article and documents some of the claims about the Resampled Portfolio Stacking targets.
Applied Quantitative Investment Management course
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The Applied Quantitative Investment Management course will run for 12 weeks with lectures on Thursdays.
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Watch the previous lecture here:
Lecture 9: Portfolio Optimization
This is the ninth lecture of the Applied Quantitative Investment Management course.
