Videos

Lecture 9: Portfolio Optimization

This lecture goes through Sections 6.1-6.3 from the Portfolio Construction and Risk Management book, introducing portfolio optimization.

Sep 4 •

52:17

Lecture 8: Causal Views and Stress Testing

This lecture goes through Sections 5.3 and 5.4 from the Portfolio Construction and Risk Management book, presenting causal views and stress testing.

Aug 28 •

53:10

Lecture 7: Sequential Entropy Pooling

This lecture goes through Section 5.2 from Portfolio Construction and Risk Management book, presenting Sequential Entropy Pooling (SeqEP).

Aug 21 •

55:00

12. The Normal Distribution Myth

This video goes through example 12 from the fortitudo.tech Python package and the accompanying SSRN article.

Aug 19 •

14:55

Lecture 6: Entropy Pooling

This lecture goes through Section 5.1 from Portfolio Construction and Risk Management book, introducing Entropy Pooling.

Aug 7

54:53

Lecture 5: Instrument Pricing

This lecture goes through Chapter 4 about instrument pricing from the Portfolio Construction and Risk Management book.

Jul 31 •

1:09:06

Lecture 4: Resampling and Generative Machine Learning

This lecture goes through the investment simulation methods from the Portfolio Construction and Risk Management book.

Jul 24 •

1:24:48

Lecture 3: Investment Simulation Framework

This lecture presents the investment simulation framework from the Portfolio Construction and Risk Management book.

Jul 17 •

1:01:28

Lecture 2: Stylized Market Facts

This lecture goes through Chapter 2 of the Portfolio Construction and Risk Management book about stylized market facts.

Jul 10 •

1:04:52

Lecture 1: Intro and Python setup

The first lecture of the Applied Quantitative Investment Management course, including Python setup.

Jul 3 •

54:24

9. Time Series GANs

Walkthrough of the time series GAN functionality from the Investment Simulation module.

Apr 26 •

12:59

11. Time- and State-Dependent Resampling

A video walkthrough of the Time- and State-Dependent Resampling SSRN article and Python code.

Apr 19 •

15:25

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