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

• Fundamental concepts

• Smooth programming

• Convex programming

• Quadratic regularization

• Selection problems

Step 9a - Construction: one-period portfolios

• Overview

• Mean-variance framework

• Analytical mean-variance

• Numerical mean-variance

• Fundamental law of active management

Step 9b - Construction: estimation risk

• Estimation risk measurement

• Sample-based allocation

• Prior allocation

• Bayesian allocation

• Robust allocation

• Diversification management

Step 9c - Construction: cross-sectional strategies

• Overview

• Signals

• Simplistic portfolio construction

• Advanced portfolio construction

• Relationship with FLAM and APT

• Multiple portfolios

Step 9d - Construction: time series strategies

• Overview

• The market

• Expected utility maximization

• Option based portfolio insurance

• Rolling horizon heuristics

• Signal induced strategy

• Convexity analysis

Step 10 - Optimal execution

• Overview

• High frequency risk drivers

• Market impact modeling

• Order scheduling

• Order placement

• Microstructure signals