Lecture 7: Sequential Entropy Pooling

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

This lecture carefully goes through Section 5.2 of the Portfolio Construction and Risk Management book and its accompanying Python code.

The lecture provides you with a deep understanding of Sequential Entropy Pooling, including a walkthrough of the accompanying Python code for the Sequential Entropy Pooling Heuristics 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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Watch the previous lecture here:

Lecture slides