Course 7: Portfolio Construction and Trading
Portfolio Construction and Trading covers static and dynamic portfolio construction, and optimal execution.
In particular, Portfolio Construction and Trading covers the following topics:- 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.
Syllabus
The course covers in depth the Portfolio Construction and Trading topics in the Lab.Step 8a - Static mean-variance construction
Step 8b - Estimation risk in static portfolios
Step 8c - Mean-variance construction with views - population
Step 8c - Mean-variance construction with view - estimation
Step 8c - Dynamic cross-sectional portfolios
Step 8d - Dynamic times series portfolios
Step 9 - Optimal execution