Portfolio Construction and Risk Management book's Python code

This repository contains the accompanying code to Portfolio Construction and Risk Management book © 2024-2026 by Anton Vorobets.

You can find the latest PDF version of the book in this Substack post.

For a quick video introduction to what you can expect from this book and some fundamental perspectives, watch this video.

Subscribe to the Quantamental Investing Substack publication to stay updated on all news related to the book.

You can still support the project through buy me a coffee or Substack.

Applied Quantitative Investment Management course

You can access a course that carefully goes through the book and its accompanying code from this repository.

Read more about the course and how you get access here.

Running the code

It is recommended to install the book's code dependencies in a conda environment.

After cloning the repository to your local machine, you can install the dependencies using the following command in your terminal:

conda env create -f environment.yml

You can then activate the conda environment and start a JupyterLab instance using the following commands:

conda activate pcrm-book
jupyter lab

If you are completely new to conda environments and Jupyter notebooks, you can find a lot of information online.

You can also run the code without any local installations using Binder. Note however that Binder servers are not always available and might have insufficient resources to run all the examples.

Feedback

Please post your feedback in the community Discussions forum. I will try to incorporate the feedback in the book. See the book's preface for some general perspectives on what it tries to achieve, and which kind feedback will be considered appropriate.

Thank you for your support

Your support made it possible for this book to be written.

Besides your personal monetary support, you can help improve the quality of the book by simply publicly sharing your positive experience with the book and its code, thereby encouraging more people to support the project. You are also encouraged to give this and the supporting fortitudo.tech repository a star.

No matter how much economic support this project realistically gets, it will only be a small fraction of the opportunity costs from writing the book and making it freely available online. Hence, you are encouraged to support it by the amount that you think it is worth to you.

If you claim one of the significiant contributor perks, you can choose to be recognized in the post that contains the latest version of the book

Licenses

The Portfolio Construction and Risk Management book © 2024-2026 by Anton Vorobets is licensed under Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International. To view a copy of this license, visit https://creativecommons.org/licenses/by-nc-nd/4.0/

The accompanying code to the Portfolio Construction and Risk Management book © 2024-2026 by Anton Vorobets is licensed under version 3 of the GNU General Public License. To view a copy of this license, visit https://www.gnu.org/licenses/gpl-3.0.en.html