Investment Management with Python and Machine Learning Specialization

A course offering by EDHEC Business School in Coursera.

The specialization is a broad and comprehensive introduction to modern methods in Investment Management, with a particular emphasis on the use of data science and machine learning techniques to improve investment decisions.

With an emphasis not only on the foundational theory and underlying concepts, but also on practical applications and hands-on implementation with Python programming.

Table of Contents

1. Introduction to Portfolio Construction and Analysis with Python

This course covers a broad range of topics in portfolio investment management and portfolio construction such as the fundamentals of risk and return, efficient frontier, Monte Carlo simulations etc.

• Week 1: Analysing returns
• Week 2: An Introduction to Portfolio Optimization
• Week 3: Beyond Diversification
• Week 4: Introduction to Asset-Liability Management

2. Advanced Portfolio Construction and Analysis with Python

This course covers the estimation, of risk and return parameters for meaningful portfolio decisions, and introduces a variety of state-of-the-art portfolio construction techniques that have proven popular in investment management and portfolio construction due to their enhanced robustness.

• Week 1: Style & Factors
• Week 2: Robust estimates for the covariance matrix
• Week 3: Robust estimates for expected returns
• Week 4: Portfolio Optimization in Practice

3. Python and Machine Learning for Asset Management

The course covers an introduction to the fundamentals of machine learning, followed by an in-depth discussion of the application of these techniques to portfolio management decisions, including the design of more robust factor models, the construction of portfolios with improved diversification benefits, and the implementation of more efficient risk management models.

• Week 1: Introducing the fundamentals of machine learning
• Week 2: Machine learning techniques for robust estimation of factor models
• Week 3: Machine learning techniques for efficient portfolio diversification
• Week 4: Machine learning techniques for regime analysis
• Week 5: Identifying recessions, crash regimes and feature selection

4. Python and Machine-Learning for Asset Management with Alternative Data Sets

This course introduces the core concepts around alternative data, the most recent research in this area, as well as practical portfolio examples and actual applications.

• Week 1: Consumption
• Week 2: Textual Analysis for Financial Applications
• Week 3: Processing Corporate Filings
• Week 4: Using Media-Derived Data