Lecture 12: Tail Risk Hedging and Analysis

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

This lecture carefully goes through Chapters 7 and 8 from the Portfolio Construction and Risk Management book and its accompanying Python code.

This lecture includes important perspectives on tail risk hedging as well as a Sequential Entropy Pooling case study that implements a tail risk diversification scenario.

Finally, there is a summary of the next-generation investment framework in comparison with the old variance-based approach.

Applied Quantitative Investment Management course

As a paid subscriber, you have full access to the course and the expanding collection of exclusive case studies that use the investment framework presented in the Portfolio Construction and Risk Management book.

The Applied Quantitative Investment Management course will run for 12 weeks with lectures on Thursdays.

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You can also opt for a free subscription, which gives you access to the free content and short lecture previews.

Watch the first lecture free here:

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Lecture slides