This is the third lecture of the Applied Quantitative Investment Management course.
This lecture carefully goes through Sections 3.1 and 3.3 of the Portfolio Construction and Risk Management book and its accompanying Python code.
The objective is to give you a high-level understanding of the multi-asset simulation framework that uses stationary transformations and enable us to simulate high-dimensional markets.
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 book.
The Applied Quantitative Investment Management course will run for 12-13 weeks with new lectures every Thursday.
To ensure that you get access at the best price, it is recommended to secure your paid subscription now.
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Watch the previous lecture here:
Lecture 2: Stylized Market Facts
This is the second lecture of the Applied Quantitative Investment Management course.
