Lecture 6: Entropy Pooling

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

This lecture carefully goes through Section 5.1 of the Portfolio Construction and Risk Management book and its accompanying Python code.

The goal of this lecture is to give you a thorough presentation of the Entropy Pooling method before presenting the more powerful Sequential Entropy Pooling in the next lecture.

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