Back to directoryResource
PortfolioAnalytics
Github Repo
by braverock
Tags
asset allocationportfolio optimisationrrisk management
Continue on SelfMadeQuant
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.