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Risk Management and Portfolio Construction

In our most recent video, “Risk Management and Portfolio Construction” Quantopian data scientist Max Margenot goes over the different ways in which you can use risk management to help you better understand your portfolio.

Max reviews the process of creating a risk factor model, what to look for when creating a risk factor, and what our risk model has to offer. He also reviews the risk factor constraints in our daily contest.

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As always, if there are any topics you would like us to focus on for future videos, please comment below or send us a quick note at [email protected].

4 responses

Another great one - thank you!

I'd love to see a short on "Factor Quantile Turnover & Rank Autocorrelation," how they are possibly related (causational(?) and negatively correlated?) to each other, and why they are important in alpha factor research.

It probably overlaps with other videos you've already done, but personally I'm just slowly starting to get my head around this, thanks to the Q Community, so another 'short' on this subject would certainly help I think.

Thanks Joakim! We will add your request to our video queue. Stay tuned!

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This is horrible. All the guy does is wave his hands. When we talk about quantifying things, especially in risk modelling, one must have the model written out so that others can read it. So, where's the beef?

Have a look at this lecture and this thread.