Investment Analysis

This website documents the functionality of Fortitudo Technologies’ Investment Analysis module. The sidebar contains links to the main modules, ordered according to the usual workflow:

1. Loading and preprocessing data

2. Simulating P&L (unless a simulation already exists)

3. Specifying causal relationships via Bayesian nets and computing joint probabilities for the main risk factors

4. Specifying views and stress-testing simulation assumptions via Entropy Pooling

5. Specifying portfolio exposures, benchmarks, and restrictions

6. Optimizing portfolios and computing rebalancing probabilities

7. Performing risk and return analysis

8. Visualizing results

Fortitudo Technologies’ clients have access to many Jupyter Notebook examples that illustrate how this functionality can be used for sophisticated investment analysis. This website contains just the raw documentation. For a detailed and pedagogical presentation of the methods, see the Portfolio Construction and Risk Management book.

For feedback or additional support, please send an email to software@fortitudo.tech.