Portfolio Construction Easter

April 2026 edition of the Portfolio Construction newsletter, summarizing latest and future updates.

Apr 01, 2026

Comical April 1 ChatGPT illustration of a “Portfolio Construction Easter”.

I have published a lot of new and fairly deep content over the last couple of months, so in this newsletter I intentionally avoid presenting new investment perspectives to allow you to digest the previous and prepare you for what is coming.

Recently, I shared a Python case study on Geopolitical Investment Risk Analysis, which has received very positive feedback given its relevance and the Causal and Predictive Market Views and Stress Testing framework. It is in many ways a very sad analysis, but as investment managers we owe it to clients to navigate these highly unpredictable scenarios in the best possible way. Simply saying “we don’t know” and going back to benchmark seems like failing on the fiduciary duty. To lighten things up, I have added a comical “Portfolio Construction Easter” image to this newsletter.

I have also continued dialogues about the Conditional Maximum Loss Portfolio Optimization article, which is met with a lot of excitement in relation to the practical problems that it can solve. If you still haven’t studied the article, make sure to check it out and watch a video walkthrough of it and its accompanying Python code.

Finally, I will continue to update the Portfolio Construction and Risk Management book, finalizing the appendix and adding more content on multi-period analysis and optimization. If you spot something that needs clarification, please let me know, so I can improve it.

Remember that you can also get a walkthrough of the Portfolio Construction and Risk Management book and its accompanying Python code in the Applied Quantitative Investment Management course.

The course and the most insightful Python case studies require a paid subscription. The paid subscription gives you access to all the paid content in addition to the possibility of asking me questions about the scientific content.

I will expand the collection of paid content with at least one article, typically based on what is most relevant for institutional investment managers. Remember that there is a 20% discount for group subscriptions, in case you want to expense it for you and your colleagues.