课程

Introduction to Portfolio Risk Management in Python

中级技能水平

更新时间 2026年4月

Evaluate portfolio risk and returns, construct market-cap weighted equity portfolios and learn how to forecast and hedge market risk via scenario generation.

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PythonApplied Finance4 小时13 视频51 练习4,250 经验值28,717成就声明

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课程描述

This course will teach you how to evaluate basic portfolio risk and returns like a quantitative analyst on Wall Street. This is the most critical step towards being able to fully automate your portfolio construction and management processes. Discover what factors are driving your portfolio returns, construct market-cap weighted equity portfolios, and learn how to forecast and hedge market risk via scenario generation.

先决条件

Introduction to Financial Concepts in Python Manipulating Time Series Data in Python

1

Univariate Investment Risk and Returns

Learn about the fundamentals of investment risk and financial return distributions.

Financial returns

50 经验值

Financial timeseries data

100 经验值

Calculating financial returns

100 经验值

Return distributions

100 经验值

Mean, variance, and normal distribution

50 经验值

First moment: Mu

100 经验值

Second moment: Variance

100 经验值

Annualizing variance

100 经验值

Skewness and kurtosis

50 经验值

Third moment: Skewness

100 经验值

Fourth moment: Kurtosis

100 经验值

Statistical tests for normality

100 经验值

2

Portfolio Investing

Level up your understanding of investing by constructing portfolios of assets to enhance your risk-adjusted returns.

Portfolio composition and backtesting

50 经验值

Calculating portfolio returns

100 经验值

Equal weighted portfolios

100 经验值

Market-cap weighted portfolios

100 经验值

Correlation and co-variance

50 经验值

The correlation matrix

100 经验值

The co-variance matrix

100 经验值

Portfolio standard deviation

100 经验值

Markowitz portfolios

50 经验值

The efficient frontier

50 经验值

Sharpe ratios

100 经验值

The MSR portfolio

100 经验值

The GMV portfolio

100 经验值

3

Factor Investing

Learn about the main factors that influence the returns of your portfolios and how to quantify your portfolio's exposure to these factors.

The Capital Asset Pricing model

50 经验值

Excess returns

100 经验值

Calculating beta using co-variance

100 经验值

Calculating beta with CAPM

100 经验值

Adjusted R-squared

50 经验值

Alpha and multi-factor models

50 经验值

The Fama French 3-factor model

100 经验值

p-values and coefficients

100 经验值

Economic intuition in factor modeling

50 经验值

The efficient market and alpha

100 经验值

Expanding the 3-factor model

50 经验值

The 5-factor model

100 经验值

Alpha vs R-squared

50 经验值

4

Value at Risk

In this chapter, you will learn two different methods to estimate the probability of sustaining losses and the expected values of those losses for a given asset or portfolio of assets.

Estimating tail risk

50 经验值

Historical drawdown

100 经验值

Historical value at risk

100 经验值

Historical expected shortfall

100 经验值

VaR extensions

50 经验值

Changing VaR and CVaR quantiles

100 经验值

Parametric VaR

100 经验值

Scaling risk estimates

100 经验值

Random walks

50 经验值

A random walk simulation

100 经验值

Monte Carlo simulations

100 经验值

Monte Carlo VaR

100 经验值

Understanding risk

50 经验值

Introduction to Portfolio Risk Management in Python

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