Q4: Scott Sanderson – Portfolio Optimization: Risk Preferences In, Trades Out

Chat With Traders

Tessa Dao

Education, Business, Investing

4.9 • 2.3K Ratings

🗓️ 12 December 2016

⏱️ 72 minutes

🔗️ Recording | iTunes | RSS

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Summary

When one has a price model that they think will work well for forecasting returns, the next step is to actually trade it. This isn’t that simple for a variety of reasons. For one thing, you need to define how much risk you’re okay with taking on in a portfolio, and then try to maximize your returns while staying within those boundaries. This is the foundation of modern portfolio theory—we’ll discuss some real life issues with this. -- Sponsored by DataCamp.com – Wanna learn how to code? Then you best visit DataCamp. They’ve got a full suite of data science courses that’ll give you the skill-sets necessary of a quant. Learn more about your ad choices. Visit megaphone.fm/adchoices

Transcript

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0:00.0	Chap with Strait is collaboration with Quantopian Episode 4.
0:13.6	What's happening crew, your host Aaron Firefield here. Thank you for joining me.
0:18.6	I really hope you've been enjoying these special episodes in collaboration with Quantopian
0:24.4	up to this point and learning lots along the way. Right now you're listening to the fourth
0:30.8	instalment. And as you'll see in here I'm again speaking with Delaney and also Scott Sanderson.
0:38.0	Scott is a software engineer at Quantopian and he's the one largely responsible for writing Zipline,
0:45.4	which is an open-sourced Python library that supports the Quantopian back testing and live trading
0:52.0	system. The topics we get into during this particular episode revolve around portfolio
0:58.4	optimization, optimizing for maximum returns and minimal risk. We also talk about constraints that
1:06.0	are quant may implement at a portfolio level, other considerations and we step through how a
1:11.8	researched news driven strategy which trades gun manufacturers could be optimised to better work
1:18.4	within a portfolio. Now just a couple reminders as per usual, any questions that you would like
1:24.4	to ask please submit them at quantopian.com slash questions so we can answer these for you on the Q&A
1:32.4	episode. This will be part six. For a full list of all the resources referenced during this episode
1:39.6	and any previous episode visit quantopian.com slash chat with traders. And lastly, I'd like to give
1:49.0	a big shout out to DataCamp, they're the ones who are backing this series. DataCamp is the one
1:56.0	resource I always recommend to traders for whenever I get asked where do I begin learning how to program.
2:03.2	The reason being and the reason that DataCamp's courses are so good is that they teach you the skills
2:09.3	necessary to work with and understand data which is of course exactly what you're doing when you do
2:15.8	any form of quantitative research as a trader. So visit datacamp.com and create a free account.
2:23.6	You can start any one of their courses for free and they even have some courses which are entirely free.
2:30.3	Just to repeat the link once more that's datacamp.com jump on it. All right, well I think that's
	...

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