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⇱ Introduction to Portfolio Construction and Analysis with Python | Coursera


Introduction to Portfolio Construction and Analysis with Python

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Introduction to Portfolio Construction and Analysis with Python

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Gain insight into a topic and learn the fundamentals.
4.8

1,476 reviews

3 weeks to complete
at 10 hours a week
Flexible schedule
Learn at your own pace
94%
Most learners liked this course

Gain insight into a topic and learn the fundamentals.
4.8

1,476 reviews

3 weeks to complete
at 10 hours a week
Flexible schedule
Learn at your own pace
94%
Most learners liked this course

What you'll learn

  • Gain an intuitive understanding for the underlying theory behind Modern Portfolio Construction Techniques

  • Write custom Python code to estimate risk and return parameters

  • Utilize powerful Python optimization libraries to build scientifically and systematically diversified portfolios

  • Build custom utilities in Python to test and compare portfolio strategies

Details to know

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Assessments

4 assignments

Taught in English

Build your subject-matter expertise

This course is part of the Investment Management with Python and Machine Learning Specialization
When you enroll in this course, you'll also be enrolled in this Specialization.
  • Learn new concepts from industry experts
  • Gain a foundational understanding of a subject or tool
  • Develop job-relevant skills with hands-on projects
  • Earn a shareable career certificate

There are 4 modules in this course

The practice of investment management has been transformed in recent years by computational methods. This course provides an introduction to the underlying science, with the aim of giving you a thorough understanding of that scientific basis. However, 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.

This course is the first in a four course specialization in Data Science and Machine Learning in Asset Management but can be taken independently. In this course, we cover the basics of Investment Science, and we'll build practical implementations of each of the concepts along the way. We'll start with the very basics of risk and return and quickly progress to cover a range of topics including several Nobel Prize winning concepts. We'll cover some of the most popular practical techniques in modern, state of the art investment management and portfolio construction. As we cover the theory and math in lecture videos, we'll also implement the concepts in Python, and you'll be able to code along with us so that you have a deep and practical understanding of how those methods work. By the time you are done, not only will you have a foundational understanding of modern computational methods in investment management, you'll have practical mastery in the implementation of those methods.

What's included

14 videos6 readings1 assignment1 discussion prompt1 ungraded lab

14 videosβ€’Total 225 minutes
  • Welcome videoβ€’4 minutes
  • Installing Anacondaβ€’4 minutes
  • Fundamentals of Returnsβ€’11 minutes
  • Lab Session-Basics of returnsβ€’30 minutes
  • Measures of Risk and Rewardβ€’9 minutes
  • Lab Session-Risk Adjusted returnsβ€’29 minutes
  • Measuring Max Drawdownβ€’10 minutes
  • Lab Session-Drawdownβ€’31 minutes
  • Deviations from Normalityβ€’9 minutes
  • Lab Session-Building your own modulesβ€’13 minutes
  • Downside risk measuresβ€’8 minutes
  • Lab Session-Deviations from Normalityβ€’30 minutes
  • Estimating VaRβ€’11 minutes
  • Lab Session-Semi Deviation, VAR and CVARβ€’27 minutes
6 readingsβ€’Total 47 minutes
  • Material at your disposalβ€’5 minutes
  • Material for the Lab Sessionsβ€’10 minutes
  • Module 1- Key pointsβ€’2 minutes
  • INCORRECT STATEMENT IN β€œDEVIATION FROM NORMALITY” VIDEOβ€’10 minutes
  • Semi Deviationβ€’10 minutes
  • Before the Quizβ€’10 minutes
1 assignmentβ€’Total 60 minutes
  • Module 1 Graded Quizβ€’60 minutes
1 discussion promptβ€’Total 10 minutes
  • Evidence of non-normality in asset returnsβ€’10 minutes
1 ungraded labβ€’Total 60 minutes
  • Code and Dataβ€’60 minutes

What's included

10 videos1 reading1 assignment1 discussion prompt

10 videosβ€’Total 172 minutes
  • The only free lunch in Financeβ€’11 minutes
  • Lab Session-Efficient frontier-Part 1β€’24 minutes
  • Markowitz Optimization and the Efficient Frontierβ€’9 minutes
  • Applying quadprog to draw the efficient Frontierβ€’11 minutes
  • Lab Session-Asset Efficient Frontier-Part 2β€’20 minutes
  • Lab Session-Applying Quadprog to Draw the Efficient Frontierβ€’38 minutes
  • Fund Separation Theorem and the Capital Market Lineβ€’7 minutes
  • Lab Session-Locating the Max Sharpe Ratio Portfolioβ€’25 minutes
  • Lack of robustness of Markowitz analysisβ€’5 minutes
  • Lab Session-Plotting EW and GMV on the Efficient Frontierβ€’20 minutes
1 readingβ€’Total 2 minutes
  • Module 2 - Key pointsβ€’2 minutes
1 assignmentβ€’Total 60 minutes
  • Module 2 Graded Quizβ€’60 minutes
1 discussion promptβ€’Total 10 minutes
  • Merits and limits of portfolio optimization methodsβ€’10 minutes

What's included

15 videos4 readings1 assignment1 discussion prompt

15 videosβ€’Total 236 minutes
  • Limits of diversificationβ€’9 minutes
  • Lab session- Limits of Diversification-Part1β€’20 minutes
  • Lab session-Limits of diversification-Part 2β€’22 minutes
  • An introduction to CPPI - Part 1β€’7 minutes
  • An introduction to CPPI - Part 2β€’10 minutes
  • Lab session-CPPI and Drawdown Constraints-Part1β€’30 minutes
  • Lab session-CPPI and Drawdown Constraints-Part2β€’29 minutes
  • Simulating asset returns with random walksβ€’11 minutes
  • Monte Carlo Simulationβ€’7 minutes
  • Lab Session-Random Walks and Monte Carloβ€’22 minutes
  • Analyzing CPPI strategiesβ€’11 minutes
  • Lab Session-Installing IPYWIDGETSβ€’6 minutes
  • Designing and calibrating CPPI strategiesβ€’13 minutes
  • Lab session - interactive plots of monte Carlo Simulations of CPPI and GBM-Part1β€’19 minutes
  • Lab session - interactive plots of monte Carlo Simulations of CPPI and GBM-Part2β€’22 minutes
4 readingsβ€’Total 27 minutes
  • Module 3 - Key pointsβ€’2 minutes
  • ipywidgets installation - infoβ€’5 minutes
  • gbm functionβ€’10 minutes
  • Instruction prior to begin the module 3 graded quizzβ€’10 minutes
1 assignmentβ€’Total 45 minutes
  • Module 3 Graded Quizβ€’45 minutes
1 discussion promptβ€’Total 10 minutes
  • Merits and limits of portfolio insurance strategiesβ€’10 minutes

What's included

12 videos5 readings1 assignment1 discussion prompt

12 videosβ€’Total 327 minutes
  • From Asset Management to Asset-Liability Managementβ€’8 minutes
  • Lab Session-Present Values,liabilities and funding ratioβ€’22 minutes
  • Liability hedging portfoliosβ€’12 minutes
  • Lab Session-CIR Model and cash vs ZC bondsβ€’68 minutes
  • Liability-driven investing (LDI)β€’10 minutes
  • Lab Session-Liability driven investingβ€’51 minutes
  • Choosing the policy portfolioβ€’15 minutes
  • Lab Session-Monte Carlo simulation of coupon-bearing bonds using CIRβ€’33 minutes
  • Beyond LDIβ€’12 minutes
  • Lab Session-Naive risk budgeting between the PSP & GHPβ€’45 minutes
  • Liability-friendly equity portfoliosβ€’10 minutes
  • Lab Session-Dynamic risk budgeting between PSP & LHPβ€’40 minutes
5 readingsβ€’Total 159 minutes
  • Module 4 - Key pointsβ€’2 minutes
  • Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds?β€’90 minutes
  • Liability-Driven-Investingβ€’60 minutes
  • Instruction prior to begin module 4 graded quizβ€’2 minutes
  • To be continued (1)β€’5 minutes
1 assignmentβ€’Total 60 minutes
  • Module 4 Graded Quizβ€’60 minutes
1 discussion promptβ€’Total 10 minutes
  • Merits and limits of asset-liability managementβ€’10 minutes

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Instructors

Instructor ratings
4.9 (491 ratings)
EDHEC Business School
2 Coursesβ€’86,348 learners

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Learner reviews

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Showing 3 of 1476

FF
Β·

Reviewed on Jan 29, 2023

The only thing I didn't like about this course was that the material of week 4 was about as much as weeks 1-3 combined. I feel like this could have been distributed a bit more evenly.

DP
Β·

Reviewed on Apr 26, 2020

Martellini and Vaidyanathan are awesome. i'd like it more if they would point to optional readings that explain the math behind some stuff (e.g.: CIR bond pricing equation).Looking forward to mooc 2

SK
Β·

Reviewed on Dec 8, 2019

The course is great, I enjoyed very detailed Python labs, they taught me a lot. But almost no support from the staff in the forums. If you don't understand something, you are on your own.

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