About this Course

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Intermediate Level
Approx. 11 hours to complete
English

What you will learn

  • Analyze style and factor exposures of portfolios

  • Implement robust estimates for the covariance matrix

  • Implement Black-Litterman portfolio construction analysis

  • Implement a variety of robust portfolio construction models

Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Flexible deadlines
Reset deadlines in accordance to your schedule.
Intermediate Level
Approx. 11 hours to complete
English

Offered by

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EDHEC Business School

Syllabus - What you will learn from this course

Week
1

Week 1

3 hours to complete

Style & Factors

3 hours to complete
9 videos (Total 114 min), 3 readings, 1 quiz
9 videos
Introduction to factor investing12m
Factor models and the CAPM9m
Multi-Factor models and Fama-French7m
Factor benchmarks and Style analysis8m
Shortcomings of cap-weighted indices11m
From cap-weighted benchmarks to smart-weighted benchmarks12m
Introduction to Lab sessions6m
Module 1 Lab Session - Foundations42m
3 readings
Requirements2m
Material at your disposal5m
Module 1- Key points2m
1 practice exercise
Module 1- Graded Quiz1h
Week
2

Week 2

2 hours to complete

Robust estimates for the covariance matrix

2 hours to complete
7 videos (Total 70 min), 1 reading, 1 quiz
7 videos
Estimating the Covariance Matrix with a Factor Model9m
Honey I Shrunk the Covariance Matrix!7m
Portfolio Construction with Time-Varying Risk Parameters8m
Exponentially weighted average8m
ARCH and GARCH Models9m
Module 2 Lab Session - Covariance Estimation13m
1 reading
Module 2-Key points2m
1 practice exercise
Module 2 - Graded quiz1h
Week
3

Week 3

3 hours to complete

Robust estimates for expected returns

3 hours to complete
7 videos (Total 77 min), 2 readings, 1 quiz
7 videos
Agnostic Priors on Expected Return Estimates6m
Using Factor Models to Estimate Expected Returns11m
Extracting Implied Expected Returns8m
Introducing Active Views6m
Black-Litterman Analysis10m
Module 3 Lab Session- Black Litterman23m
2 readings
Module 3-Key points2m
The Intuition Behind Black-Litterman Model Portfolios10m
1 practice exercise
Module 3 - Graded Quiz1h
Week
4

Week 4

3 hours to complete

Portfolio Optimization in Practice

3 hours to complete
7 videos (Total 67 min), 4 readings, 1 quiz
7 videos
Scientific Diversification11m
Measuring risk contributions6m
Simplified risk parity portfolios7m
Risk Parity Portfolios7m
Comparing Diversification Options8m
Module 4 Lab Session - Risk Contribution and Risk Parity15m
4 readings
Module 4-Key points2m
Survey: Alternative Equity Beta Investing10m
Dive into heuristic diversification10m
To be continued (2)10m
1 practice exercise
Module 4 - Graded quiz1h

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About the Investment Management with Python and Machine Learning Specialization

Investment Management with Python and Machine Learning

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