Course 6: Quantitative Portfolio Management

The course “Quantitative Portfolio Management” covers static and dynamic portfolio construction, as well as 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.