Portfolio Construction and Risk Management

11 Pages Posted: 29 Apr 2024 Last revised: 16 Jun 2024

Date Written: April 25, 2024


This is the sneak peek version of the Portfolio Construction and Risk Management book, which is currently being written through a crowdfunding campaign, see https://igg.me/at/pcrm-book. The book will contain a careful walkthrough of the next generation investment framework, which utilizes fully general Monte Carlo distributions, Entropy Pooling, and CVaR. Campaign backers will get early access to the book and Python code in addition to a community forum where I will answer questions. The top 10 backers by the time this book is made publicly available will receive three months access to an institutional-grade implementation of the framework from this book to further explore their newly acquired knowledge.

Keywords: Portfolio construction, risk management, Monte Carlo simulation, Entropy Pooling, conditional Value-at-Risk, CVaR, portfolio optimization, market views, stress-testing, Python Programming Language.

JEL Classification: C00, C01, C02, C11, C15, C32, C45, C53, C58, C61, C88, G00, G11, G12, G17.

Suggested Citation

Vorobets, Anton, Portfolio Construction and Risk Management (April 25, 2024). Available at SSRN: https://ssrn.com/abstract=4807200 or http://dx.doi.org/10.2139/ssrn.4807200

Anton Vorobets (Contact Author)

Fortitudo Technologies ( email )

Østre Stationsvej 39B, 8. th.
Odense C, 5000

HOME PAGE: http://fortitudo.tech

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