Lecture 9: Portfolio Optimization

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

This lecture carefully goes through Sections 6.1-6.3 from the Portfolio Construction and Risk Management book and its accompanying Python code.

The lecture also goes through the Python code for the Variance for Intuition, CVaR for optimization article.

This lecture presents many fundamental perspectives of advanced portfolio construction.

If you are new to portfolio construction, the lecture should significantly accelerate your understanding of how sophisticated investors think.

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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Lecture slides