Volume 3 of 4 · PDF edition

Volume 3: Econometrics, Portfolio Construction, and Risk

Estimate financial relationships, construct portfolios, measure performance, and manage market, credit, counterparty, liquidity, operational, and model risk.

Every chapter remains free to read online. This paid edition gives you the carefully typeset PDF, companion notebooks, and every future update for this volume.

Pages
~770 pages
Chapters
18 chapters
Price
$29 one-time
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Quantitative Finance, Volume Three: Econometrics, Portfolio Construction, and Risk cover

Author and edition details

About the author and Volume 3 PDF edition

Michael Brenndoerfer, author of Quantitative Finance

Michael Brenndoerfer

Michael has spent more than a decade working across software engineering, data, AI, and business. He writes to understand difficult ideas more deeply and to share what he learns in a clear, practical way.

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Important: This book is for education and research. It does not provide investment, trading, legal, tax, or other professional advice, and examples are not recommendations.

Edition
Volume 3 PDF 2026.08.1
Published
Last reviewed

From method to decision

What you will learn

  • Fit time-series, volatility, regression, factor, and calibration models without losing sight of estimation error and stability.
  • Turn forecasts and views into portfolios using mean-variance optimization, factor models, Black-Litterman, robust optimization, and risk parity.
  • Measure and control market, credit, counterparty, liquidity, operational, and model risk within a practical governance framework.

Audience and prerequisites

Who this volume is for

Portfolio managers, risk professionals, researchers, and analysts who want to connect statistical models with allocation and risk decisions.

Prerequisites: A working knowledge of statistics is useful. The probability, statistics, and linear algebra chapters in Volume 1 provide a suitable refresher.

Free online preview

Start with “Modern Portfolio Theory and Mean-Variance Optimization”

Markowitz framework, efficient frontier, diversification benefits, and portfolio optimization.

Read the chapter

Exact contents

18 chapters across 3 parts

Part VIII: Econometrics and Statistical Modeling

  1. 01Time-Series Models for Financial Data
  2. 02Modeling Volatility and GARCH Family
  3. 03Regression Analysis for Financial Relationships
  4. 04Principal Component Analysis and Factor Extraction
  5. 05Calibration and Parameter Estimation in Models

Part IX: Portfolio Theory and Investment Analysis

  1. 01Modern Portfolio Theory and Mean-Variance Optimization
  2. 02Capital Market Theory - CAPM and the Efficient Frontier
  3. 03Arbitrage Pricing Theory and Multi-Factor Models
  4. 04Portfolio Performance Measurement
  5. 05Performance Attribution and Investment Alpha
  6. 06Advanced Portfolio Construction Techniques

Part X: Risk Management and Financial Risk Controls

  1. 01Overview of Financial Risks and Regulatory Frameworks
  2. 02Market Risk Measurement - VaR and Beyond
  3. 03Credit Risk Fundamentals
  4. 04Credit Risk Modeling Approaches
  5. 05Counterparty Risk and CVA
  6. 06Liquidity Risk and Other Non-Market Risks
  7. 07Risk Management Practices and Policies

Volume 3 PDF + notebooks

Own this ~770-page edition

Get the PDF, companion notebooks, and every future update and erratum for this volume. Your purchase is credited toward the complete edition.

  • Carefully typeset PDF
  • Companion notebooks for the included chapters
  • Future updates and errata included
  • Portable offline reading

Volume 3 of 4

$29

one-time

Version 2026.08.1 · ~770 pages · secure checkout via Stripe

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This volume or the complete book?

Volume 3: Econometrics, Portfolio Construction, and Risk

~770 pages focused on Part VIII: Econometrics and Statistical Modeling, Part IX: Portfolio Theory and Investment Analysis, Part X: Risk Management and Financial Risk Controls.

$29

The complete Quantitative Finance book

All four volumes in one 3,288-page PDF with the full set of companion notebooks. Buying three distinct volumes unlocks the complete book automatically.

$79

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Also in the series

Explore the other volumes

Volume 1 · ~883 pages

Foundations and Financial Instruments

Mathematics · Equity and Fixed Income · Forwards, Futures, Options, Swaps, and Credit

Explore Volume 1

Volume 2 · ~664 pages

Derivative Pricing and Interest Rate Models

Stochastic Calculus · Options · Numerical Pricing · Rate Models

Explore Volume 2

Volume 4 · ~1011 pages

Quant Trading, Execution, and Deployment

Trading Strategies · Market Microstructure · Backtesting · Production Systems

Explore Volume 4

Version history

Kept current, not frozen in time

Each PDF purchase includes future editions. When the book changes, the updated copy appears in My books at no extra cost.

Current release

Edition 2026.08.1

Editorial improvements.

Earlier releases2

  1. 2026.08.0

    Editorial improvements throughout the book, with clearer explanations, refined presentation, improved plots and visualizations, and refreshed companion code.

  2. 2026.07.0

    Initial complete-book and four-volume PDF release with companion notebooks.

Educational material only. This book does not provide investment, trading, tax, or legal advice. Examples explain methods and are not recommendations.