Program

The Quant Marathon includes four all-encompassing, mutually exclusive, core learning courses that cover all of the topics of the ARPM Lab, plus several refresher topics for preparation purposes.

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Quantitative Portfolio Management

30-hours course
This course prepares for the Quantitative Portfolio Management module of the ARPM Certificate Body of Knowledge.
About the ARPM Lab
About quantitative finance: P and Q
Notation
The "Checklist": executive summary
Optimization – overview
Continuous programming
Integer N-choose-K heuristics
Mean-variance principles
Benchmark allocation
Mean-variance pitfalls
Step 9. Construction - Historical
Step 9. Construction - Monte Carlo
Estimation risk measurement
Sample-based allocation
Prior allocation
Bayesian allocation
Robust allocation
Diversification management
General views processing
Minimum relative entropy
Black-Litterman
Equilibrium prior
Active views
Posterior
Limit cases and generalizations
Introduction
Signals
Carry signals
Value signals
Technical signals
Microstructure signals
Fundamental and other signals
Signal processing
Simplistic portfolio construction
Advanced portfolio construction
Fundamental law of active management
Relationship with FLAM and APT
Multiple portfolios
The market
Expected utility maximization
Option based portfolio insurance
Signal induced strategy
Convexity analysis
Execution
High frequency risk drivers
Market impact modeling
Order scheduling
Order placement
Step 10. Execution - Historical
Step 10. Execution - Monte Carlo

Testimonials

Our thousands of Alumni include senior executives from world-renowned banks such as Goldman Sachs and Morgan Stanley, funds such as BlackRock, Two Sigma and AQR, and a wide range of other professionals and academics with different backgrounds.

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