Course 6: Quantitative Portfolio Management
Quantitative Portfolio Management covers static and dynamic portfolio construction, and optimal execution.
In particular, this course covers the following topics:- Optimization: convex programming, quadratic regularization, selection problems
- One-period portfolio construction: total return and relative value mean-variance, fundamental law of active management, tails and non-normality
- Dynamic portfolio construction: cross-sectional strategies, time series strategies
- Execution: market impact modeling, order scheduling, order placement
After the course you will obtain a Statement of Completion. Furthermore, you can choose to complete an optional code-based project that will count as one of the two Practical Projects towards the ARPM Certification.
Optimization
Step 8a - Construction: one-period portfolios
Step 8b - Construction: estimation risk
Step 8c - Construction: cross-sectional strategies
Step 8d - Construction: time series strategies
Step 9 - Optimal execution
