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Course

Introduction to Portfolio Risk Management in Python

Intermediate

4.8+

Updated 04/2025

Evaluate portfolio risk and returns, construct market-cap weighted equity portfolios and learn how to forecast and hedge market risk via scenario generation.

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PythonApplied Finance4 hours13 videos51 Exercises4,250 XP25,820Statement of Accomplishment

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Course Description

This course will teach you how to evaluate basic portfolio risk and returns like a quantitative analyst on Wall Street. This is the most critical step towards being able to fully automate your portfolio construction and management processes. Discover what factors are driving your portfolio returns, construct market-cap weighted equity portfolios, and learn how to forecast and hedge market risk via scenario generation.

Prerequisites

Introduction to Financial Concepts in Python Manipulating Time Series Data in Python

1

Univariate Investment Risk and Returns

Financial returns

Financial timeseries data

Calculating financial returns

Return distributions

Mean, variance, and normal distribution

First moment: Mu

Second moment: Variance

Annualizing variance

Skewness and kurtosis

Third moment: Skewness

Fourth moment: Kurtosis

Statistical tests for normality

2

Portfolio Investing

Portfolio composition and backtesting

Calculating portfolio returns

Equal weighted portfolios

Market-cap weighted portfolios

Correlation and co-variance

The correlation matrix

The co-variance matrix

Portfolio standard deviation

Markowitz portfolios

The efficient frontier

Sharpe ratios

The MSR portfolio

The GMV portfolio

3

Factor Investing

The Capital Asset Pricing model

Excess returns

Calculating beta using co-variance

Calculating beta with CAPM

Adjusted R-squared

Alpha and multi-factor models

The Fama French 3-factor model

p-values and coefficients

Economic intuition in factor modeling

The efficient market and alpha

Expanding the 3-factor model

The 5-factor model

Alpha vs R-squared

4

Value at Risk

Estimating tail risk

Historical drawdown

Historical value at risk

Historical expected shortfall

VaR extensions

Changing VaR and CVaR quantiles

Parametric VaR

Scaling risk estimates

Random walks

A random walk simulation

Monte Carlo simulations

Monte Carlo VaR

Understanding risk

Introduction to Portfolio Risk Management in Python

Course
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*4.8

from 77 reviews

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Most recent
Top reviews

Raul

1 day

Sergio

3 days

Nikola

7 days

As someone familiar with finance, I believe this course offers a quick review of important financial concepts combined in a fun and practical way using Python. Keep up with the amazing work!

Yizhe

8 days

KOUMAI

9 days

Umut

9 days

Raul

Sergio

"As someone familiar with finance, I believe this course offers a quick review of important financial concepts combined in a fun and practical way using Python. Keep up with the amazing work!"

Nikola

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