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Curriculum / Phase 2 · Core Quantitative Finance

Portfolio Theory and Quantitative Investment

Study portfolio optimisation, diversification, factor models and performance evaluation for quantitative investment.

Why study Portfolio Theory and Quantitative Investment?

An attractive signal does not tell you how much capital to allocate to it. Portfolio construction turns estimates into positions while making concentration, estimation error and investment constraints visible.

Who this is for

For investment researchers and aspiring portfolio quants with probability, matrix methods and market foundations.

What you should be able to do

  • Connect return, covariance and diversification to portfolio construction.
  • Compare constrained optimisation, factor models and risk budgeting.
  • Evaluate portfolio performance and model risk.

An example of the work this prepares you for

A portfolio comparison showing allocations, risk contributions, turnover and sensitivity to uncertain inputs.

Prerequisites and suggested preparation

You should be comfortable with the background covered in these programmes. Equivalent knowledge from university study or independent learning is also suitable.

The goal is to use the foundations in context: explain the assumptions, carry out a calculation and interpret the result. If one of those steps feels unfamiliar, review the linked preparation first.

A preview of the learning journey

The lessons build towards these kinds of reasoning and practical work.

Understand diversification

Explain where portfolio risk comes from and when diversification weakens.

Construct an allocation

Assess how constraints and input estimates change weights.

Evaluate investment decisions

Separate performance, factor exposure and model uncertainty.

Members work through the detailed lessons, derivations, worked examples and solutions inside the learning dashboard.

Explore lesson previews by topic

Open a topic preview to see its introduction, learning objectives and prerequisites. Previous and next links let you explore the lessons in study order. Full lessons are available in the member dashboard; selected samples are free to read in full.

Topic previewPortfolio Optimisation and Quant Portfolio Construction11 lessonsTopic previewRisk Analytics, Fund Management and Model Risk8 lessonsTopic previewIndex Models and Portfolio Computation3 lessonsTopic previewCAPM and Equilibrium Models7 lessonsTopic previewMarket Efficiency, Behavioral Finance, and Equity Valuation6 lessonsTopic previewPortfolio Performance Evaluation5 lessonsTopic previewPractitioner Equity Portfolio Management7 lessons

Free resources to start learning

Use these alongside the programme or to prepare independently. Start with the introductory material, work through an example, then return to the research papers when the underlying ideas are familiar.

  1. Textbook · Free

    Convex Optimization

    Stephen Boyd and Lieven Vandenberghe

    Read the optimisation framework behind constrained allocation problems.

  2. Video lectures · Free

    Finance Theory I: lecture videos

    MIT OpenCourseWare · Andrew Lo

    Watch the portfolio theory and CAPM lectures for economic interpretation.

  3. University course · Free

    Foundations of Financial Engineering

    Columbia · Martin Haugh

    Use the mean-variance and CAPM notes as a concise university reference.

  4. Data · Free

    Kenneth R. French Data Library

    Dartmouth · Tuck School of Business

    Compare portfolio returns with public factor and benchmark series.

  5. Research paper · Free

    Coherent Measures of Risk

    Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath

    Consider which properties a portfolio risk measure should satisfy.

    View research in Directory →

Links reviewed 14 October 2026. Free refers to the linked reading, notes or videos; printed books and certificates may cost extra.

Find more papers and learning materials in the SelfMadeQuant Directory.

Where this programme fits

  • Portfolio, Factor and Asset-Management Quant · required programme
  • Risk and Model Validation Quant · elective programme

Ready to study Portfolio Theory and Quantitative Investment? Explore membership for access to the complete lessons.

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Phase 2Derivatives Pricing and Computational FinanceLearn option pricing and hedging through no-arbitrage, Black–Scholes, binomial trees and Monte Carlo methods.Phase 2Fixed Income and Interest-Rate ModelsStudy bond pricing, yield curves, interest-rate risk and no-arbitrage term-structure models.Phase 2Quantitative Risk ManagementStudy quantitative risk management through loss distributions, tail risk, dependence, credit risk and model validation.Phase 2Quantitative Research, Data and BacktestingLearn to design financial research with point-in-time data, time-ordered validation and economically realistic backtests.Phase 2Market Microstructure and ExecutionStudy order books, liquidity, market impact and execution analysis from market data to executed positions.Phase 2Professional Quant PracticeDevelop the reproducibility, documentation, validation and communication practices used in quantitative model work.