- 01. intro
- 02. exercise
- 03. barra data
- 04. time offsets
- 05. holdings in dollars
- 06. scaling alpha factor
- 07. Transaction Costs
- 08. Transaction cost formula
- 09. Linear Transaction cost model
- 10. Optimization without constraints
- 11. Risk Factor Matrix
- 12. Avoid N by N matrix
- 13. risk aversion parameter
- 14. objective function, gradient and optimizer
- 15. outro
- 16. ML for Trading interview