Style & Factors-Section 1
Welcome video
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Requirements
Material at your disposal
Module 1- Key points
Introduction to factor investing
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Factor models and the CAPM
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Multi-Factor models and Fama-French
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Factor benchmarks and Style analysis
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Style & Factors-Section 2
Shortcomings of cap-weighted indices
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From cap-weighted benchmarks to smart-weighted benchmarks
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Introduction to Lab sessions
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Module 1 Lab Session - Foundations
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Robust estimates for the covariance matrix-Section 1
Module 2-Key points
The curse of dimensionality
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Estimating the Covariance Matrix with a Factor Model
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Honey I Shrunk the Covariance Matrix!
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Robust estimates for the covariance matrix-Section 2
Portfolio Construction with Time-Varying Risk Parameters
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Exponentially weighted average
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ARCH and GARCH Models
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Module 2 Lab Session - Covariance Estimation
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Robust estimates for expected returns-Section 1
Module 3-Key points
Lack of Robustness of Expected Return Estimates
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Agnostic Priors on Expected Return Estimates
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Using Factor Models to Estimate Expected Returns
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Robust estimates for expected returns-Section 2
Extracting Implied Expected Returns
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Introducing Active Views
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Black-Litterman Analysis
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The Intuition Behind Black-Litterman Model Portfolios
Module 3 Lab Session- Black Litterman
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Importat message before the quiz!
Portfolio Optimization in Practice-Section 1
Module 4-Key points
Survey: Alternative Equity Beta Investing
Naive Diversification
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Scientific Diversification
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Measuring risk contributions
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Portfolio Optimization in Practice-Section 2
Simplified risk parity portfolios
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Risk Parity Portfolios
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Comparing Diversification Options
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Module 4 Lab Session - Risk Contribution and Risk Parity
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Dive into heuristic diversification
To be continued (2)