About this Course
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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

Suggested: 4 weeks, from 3 to 4 hours per week...

English

Subtitles: English

What you will learn

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    Analyze style and factor exposures of portfolios

  • Check

    Implement robust estimates for the covariance matrix

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    Implement Black-Litterman portfolio construction analysis

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    Implement a variety of robust portfolio construction models

Learners taking this Course are
  • Data Scientists

    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

    Suggested: 4 weeks, from 3 to 4 hours per week...

    English

    Subtitles: English

    Syllabus - What you will learn from this course

    Week
    1
    3 hours to complete

    Style & Factors

    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
    2 hours to complete

    Robust estimates for the covariance matrix

    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
    3 hours to complete

    Robust estimates for expected returns

    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
    2 hours to complete

    Portfolio Optimization in Practice

    7 videos (Total 67 min), 2 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
    2 readings
    Module 4-Key points2m
    Dive into heuristic diversification10m
    1 practice exercise
    Module 4 - Graded quiz1h

    Instructors

    Avatar

    Lionel Martellini, PhD

    EDHEC-Risk Institute, Director
    Finance
    Avatar

    Vijay Vaidyanathan, PhD

    Optimal Asset Management Inc.
    CEO

    About EDHEC Business School

    Founded in 1906, EDHEC is now one of Europe’s top 15 business schools . Based in Lille, Nice, Paris, London and Singapore, and counting over 90 nationalities on its campuses, EDHEC is a fully international school directly connected to the business world. With over 40,000 graduates in 120 countries, it trains committed managers capable of dealing with the challenges of a fast-evolving world. Harnessing its core values of excellence, innovation and entrepreneurial spirit, EDHEC has developed a strategic model founded on research of true practical use to society, businesses and students, and which is particularly evident in the work of EDHEC-Risk Institute and Scientific Beta. The School functions as a genuine laboratory of ideas and plays a pioneering role in the field of digital education via EDHEC Online, the first fully online degree-level training platform. These various components make EDHEC a centre of knowledge, experience and diversity, geared to preparing new generations of managers to excel in a world subject to transformational change. EDHEC in figures: 8,600 students in academic education, 19 degree programmes ranging from bachelor to PhD level, 184 professors and researchers, 11 specialist research centres. ...

    About the Investment Management with Python and Machine Learning Specialization

    The Data Science and Machine Learning for Asset Management Specialization has been designed to deliver a broad and comprehensive introduction to modern methods in Investment Management, with a particular emphasis on the use of data science and machine learning techniques to improve investment decisions.By the end of this specialization, you will have acquired the tools required for making sound investment decisions, with an emphasis not only on the foundational theory and underlying concepts, but also on practical applications and implementation. Instead of merely explaining the science, we help you build on that foundation in a practical manner, with an emphasis on the hands-on implementation of those ideas in the Python programming language through a series of dedicated lab sessions....
    Investment Management with Python and Machine Learning

    Frequently Asked Questions

    • Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.

    • When you enroll in the course, you get access to all of the courses in the Specialization, and you earn a certificate when you complete the work. Your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

    More questions? Visit the Learner Help Center.