Major Book Update
This article describes some of the recent and forthcoming updates to the Portfolio Construction and Risk Management book.
First of all, I want to thank everyone who has read, supported, and given feedback on the Portfolio Construction and Risk Management book.
Remember that the Applied Quantitative Investment Management course gives walkthrough of the book and its contents, consisting of 12 hours of lectures.
The first public version was released on my birthday last year, and I just uploaded a new version that include an appendix with the necessary mathematics, probability, and statistics.
I initially wrote the book for people who had the necessary technical background, but I received many messages from people who wanted to study the material and asked for effective mathematical references.
It made me realize that the mathematics were not easy accessible in a cohesive way. Hence, I decided to add appendices that present all the necessary concepts in the book’s concise style.
For example, the mathematics, probability and statistics appendices are just 21 pages, while their content is usually described in several hundreds pages.
I hope that the appendix can be a good starting point for people who have never studied the material. I actually believe that it presents exactly what you need, but you might still feel like you need to look into more details and lengthy explanations if you have not studied it before.
If you have studied the mathematics before but feel a bit rusty, it should serve as an excellent refresher for you.
Please feel free to provide feedback on whether the first two appendices achieve this objective, or something needs to be improved.
You can find the latest version of the book in post below:
Future updates
After the appendices are finished, I will continue to update the actual chapters of the book. So, please let me know if you spot something that is unclear or mistakes.
I will also add more perspectives on dynamic tail risk measures, which allow us to get the full benefit of the Monte Carlo simulation paths.
This is very exciting stuff, so make sure to stay tuned for this by subscribing to this publication:
I will share some major new results already next week.