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Risk-Constrained Portfolio Optimization

Once you have a model that is predicting returns, and you’ve determined that these returns are novel alpha and not just common risk, the next step is constructing a portfolio. In any investment process, you want to optimize your returns given some risk budget/tolerances. We’ll use Quantopian's risk model to measure estimated risk exposures of given portfolios, and then show you how to construct an optimal portfolio that obeys given risk tolerances.

The Risk-Constrained Portfolio Optimization lecture's landing page is here:
https://www.quantopian.com/lectures/risk-constrained-portfolio-optimization

As always, our lectures are all available at:
https://www.quantopian.com/lectures

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

1 response

This is cool. I look forward to daily factor values per symbol for all the common factors, especially short term reversals.