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Better Portfolios

Estimation error in the frontier, shrinkage of the covariance matrix, Black-Litterman views on top of equilibrium returns, risk parity, and constraints and turnover costs in the optimizer.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectMean variance, shrinkage and risk parity compared out of sampleOne small program on the topic, to run and to extend step by step.

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