Lecture 11: Derivatives Portfolio Optimization and Rebalancing

This is the eleventh lecture of the Applied Quantitative Investment Management course.

This lecture carefully goes through Sections 6.4.2 and 6.5 from the Portfolio Construction and Risk Management book and its accompanying Python code.

This lecture presents derivatives portfolio optimization with parameter uncertainty and intelligent rebalancing.

The lecture also goes through the accompanying code for the Derivatives Portfolio Optimization and Parameter Uncertainty SSRN article.

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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Lecture slides