Quant Marathon program

Courses

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses, refresher courses for preparation purposes.

Refreshers for Python and MATLAB are also available on demand.

Quantitative Portfolio Management

This course prepares for the Quantitative Portfolio Management module of the ARPM Certificate Body of Knowledge.
Mean-variance principles
Benchmark allocation
Mean-variance pitfalls
Step 9. Construction - Historical
Step 9. Construction - Monte Carlo
Estimation risk measurement
Sample-based allocation
Bayesian allocation
Robust allocation
Diversification management
Equilibrium prior
Active views
Posterior
Limit cases and generalizations
Signals
Carry signals
Value signals
Technical signals
Microstructure signals
Fundamental and other signals
Signal processing
Simplistic portfolio construction
Advanced portfolio construction
Relationship with FLAM and APT
Multiple portfolios
Fundamental law of active management
Construction: time series strategies
The market
Expected utility maximization
Option based portfolio insurance
Signal induced strategy
Convexity analysis
Execution
High frequency risk drivers
Market impact modeling
Order scheduling
Order placement
Step 10. Execution - Historical
Step 10. Execution - Monte Carlo
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