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Mercado de valores

Portfolio Construction Workshop: A practitioner's review of the basics

Institutional investors like Blackrock, AQR, Citadel invest hundreds of billions of dollars for pension funds, university endowments and many other large financial institutions. What do they attribute a large part of their success?

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The Scientific Method!

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Check the GitHub Repository!

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Module 1: Introduction to Financial Data and Risk

  • 1.0 Why we are doing this?

  • 1.1 Prices vs. Returns

  • 1.2 Benchmarks

  • 1.3 Risk Measurement

Module 2: Portfolio Theory

  • 2.1 Diversification and Correlation

  • 2.2 Markowitz Efficient Frontier

  • 2.3 Capital Allocation Line

  • 2.4 Rebalancing Portfolios

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Module 3: Linear Regression Models

  • 3.1 Simple Linear Regression

  • 3.2 Multiple Linear Regression

  • 3.3 Model Diagnosis

  • 3.4 Multivariate Regression

​Module 4: Capital Asset Pricing Model (CAPM)

  • 4.1 Naive CAPM

  • 4.2 Time-Weighted CAPM

  • 4.3 Betas for the a whole Benchmark

  • 4.4 Betting Agains Beta Strategies

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Module 5: Factor Models

  • 5.1 Proving Size and Value

  • 5.2 Proving Momentum

  • 5.3 Fama & French Model Specification

  • 5.4 Fama-MacBeth Regressions

Module 6: Performance and Risk Attribution

  • 6.1 Brinson-Fachler Model

  • 6.2 Performance Attribution for Factor Models

  • 6.3 Menchero Risk Attribution

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