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Riskfolio-Lib
Github Repo
by dcajasn
Tags
asset allocationportfolio optimisationpythonrisk managementrisk parity
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Build the foundations
Suggested foundations for portfolio construction and risk measurement and stress. Specialist prerequisites vary by resource.
Before you read
- Eigenvalues and Covariance Matrices
Understand the covariance structure of portfolio risk.
- Constrained and Convex Optimisation
Read objectives, constraints and optimality conditions.
- Random Variables and Distributions
Represent losses as a distribution rather than one forecast.
- Expected Shortfall and Other Tail Risk Measures
Distinguish a loss quantile from the average loss in the tail.
Go further
- Mean-Variance Optimisation
Construct allocations and examine sensitivity to estimated inputs.
- Portfolio Constraints
Turn mathematical weights into feasible portfolio decisions.
- VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo
Compare risk estimators and their assumptions.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.