Once you have a model that is predicting returns, and you’ve determined that these returns are novel alpha and not just common risk, the next step is constructing a portfolio. In any investment process, you want to optimize your returns given some risk budget/tolerances. We’ll use Quantopian's risk model to measure estimated risk exposures of given portfolios, and then show you how to construct an optimal portfolio that obeys given risk tolerances.
The Risk-Constrained Portfolio Optimization lecture's landing page is here:
https://www.quantopian.com/lectures/risk-constrained-portfolio-optimization
As always, our lectures are all available at:
https://www.quantopian.com/lectures