Highlighting the most impactful chapters in the Portfolio Construction and Risk Management book.

While I hope you read everything, Chapters 5 and 6 contain most of the new results and perspectives.

I acknowledge that the material may seem very advanced the first time you read it, but if you stick with it, you will discover new and better solutions to many common problems.

Chapter 5 provides a comprehensive overview of views and stress-testing for fully general distributions.

Chapter 6 provides a thorough presentation of tail risk optimization with risk budgets, parameter uncertainty, and derivatives.

Find out how to access the book and its accompanying Python code in the post below: