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Portfolio risk and optimal liquidation· 1 of 4
  1. 01Value at Risk and Expected Shortfall
  2. 02Drawdowns and duration analysis
  3. 03Sharpe and Sortino ratios
  4. 04Optimal liquidation and market impact

Portfolio risk and optimal liquidation

Value at Risk and Expected Shortfall

Measure portfolio tail risk using parametric and historical Value at Risk and Expected Shortfall (CVaR).

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This one opens once you have finished Statistical arbitrage and factor models.

Progress is kept against your account, so finishing a module needs one. Everything up to here is open without.

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