Program

Logo ARPM Quant Marathon

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses, plus optional coding refresher courses for preparation purposes.

Quantitative Portfolio Management

30-hours course
This course prepares for the Quantitative Portfolio Management module of the ARPM Certificate Body of Knowledge.
Mean-variance principles
Benchmark allocation
Mean-variance pitfalls
Step 9. Construction - Historical
Step 9. Construction - Monte Carlo
Estimation risk measurement
Sample-based allocation
Bayesian allocation
Robust allocation
Diversification management
Black-Litterman
Equilibrium prior
Active views
Posterior
Limit cases and generalizations
Signals
Carry signals
Value signals
Technical signals
Microstructure signals
Fundamental and other signals
Signal processing
Simplistic portfolio construction
Advanced portfolio construction
Relationship with FLAM and APT
Multiple portfolios
Fundamental law of active management
Construction: time series strategies
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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