Sequential Entropy Pooling Article This post contains the latest version of the Sequential Entropy Pooling Heuristics article by Anton Vorobets.

How to get the most out of your market views and stress tests for fully general Monte Carlo simulations.

Find the latest version of the Sequential Entropy Pooling (SeqEP) article and a lot of support material below.

#quant #quantsky #finance #markets #python #investing #entropypooling #views

14. Conditional Maximum Loss Portfolio Optimization A video walkthrough of the Conditional Maximum Loss Portfolio Optimization article and Python code.

You can find a video walkthrough of this article and its Python code here: antonvorobets.substack.com/p/14-conditi...

Conditional Maximum Loss (CML) Portfolio Optimization | Fortitudo Technologies How to analyse the dynamic aspects of tail risks. Although most investors understand that we do not live in a one-period world, portfolio optimization and risk analysis is usually one period in natur...

How to analyse the dynamic aspects of tail risks:

www.linkedin.com/posts/fortit...

#quant #quantsky #finance #markets #python #investing #investment #CML #CVaR

Anton Vorobets (@antonvorobets) Some of the best feedback you can get regarding investment methods is that they are obvious. This might sound surprising, but it usually implies that the solution is impactful and elegant. Today, we...

Some of the best feedback you can get regarding investment methods is that they are obvious.

This might sound surprising, but it usually implies that the solution is impactful and elegant:

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #CML #CVaR #substack

Portfolio Construction Easter April 2026 edition of the Portfolio Construction newsletter, summarizing latest and future updates.

The April edition of the Portfolio Construction newsletter gives a summary of the past and reveals a bit about the future.

At the end, there is a popular posts recap. Make sure to check it out :-)

#quant #quantsky #finance #markets #python #investing #investment

Anton Vorobets (@antonvorobets) Perspectives on full and fractional differencing of investment time series. It is well known that asset prices are nonstationary, while most statistical models require the data to be (at least locall...

Perspectives on full and fractional differencing of investment time series:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment

Geopolitical Investment Risk Analysis This article presents how the Causal and Predictive Market Views and Stress Testing framework can be used to analyze geopolitical risks.

Analyzing the investment risks of wars in a causal and predictive way for multi-asset portfolios.

This Python case study simulates the P&L of multi-asset instruments and analyzes the effect of various scenarios for current and future potential wars.

#quant #quantsky #finance #investing #python

Anton Vorobets (@antonvorobets) Watch the Conditional Maximum Loss (CML) presentation from CQF Institute’s Portfolio Management conference. You can now find the replay on CQF Institute’s website under Resources > Videos > Portfolio...

Watch the Conditional Maximum Loss (CML) presentation from CQF Institute’s Portfolio Management conference:

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #conditionalmaximumloss #cml #maximumloss #investment

Anton Vorobets (@antonvorobets) Celebrating 5000 subscribers for the Quantamental Investing publication. I really enjoy Substack because it allows me to share deep content in various formats and engage with subscribers in a more me...

Celebrating 5000 subscribers for the Quantamental Investing publication:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment #quantamental

Stop Using SSRN This article explains why I will stop updating my SSRN author page and where you can find my scientific work in the future.

This article explains where you will be able to find my future and updated scientific work.

It is an improvement for the reader, creating the best possible environment for learning the material through reading, watching videos and exploring Python code.

#quant #quantsky #finance #investing #python

Portfolio Construction and Risk Management book | Fortitudo Technologies Check out the latest version of the Portfolio Construction and Risk Management book. This book carefully describes our investment framework and its methods, and you can explore basic use cases with t...

Check out the latest version of the Portfolio Construction and Risk Management book:

www.linkedin.com/feed/update/...

#quant #quantsky #finance #markets #python #investing #risk #investment

14. Conditional Maximum Loss Portfolio Optimization A video walkthrough of the Conditional Maximum Loss Portfolio Optimization article and Python code.

Video walkthrough of the Conditional Maximum Loss (CML) Portfolio Optimization article and Python code.

CML is a new path-dependent tail risk measure that works for fully general Monte Carlo market simulations.

The video below will help you learn about it more effectively.

#quant #quantsky #data

Anton Vorobets (@antonvorobets) How to effectively find the best solution to investment problems. I appreciate the genuinely constructive feedback I receive for the investment tools that I develop. This is absolutely necessary to ...

How to effectively find the best solution to investment problems.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #data

Anton Vorobets (@antonvorobets) Practical perspectives on stationarity in investment markets. Investment data is probably not stationary in the strict mathematical sense, certainly not the price series. While there are fundamental...

Practical perspectives on stationarity in investment markets.

Investment data is probably not stationary in the strict mathematical sense, certainly not the price series.

Read why it's useful assumption anyway: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing

Anton Vorobets (@antonvorobets) Is mean-variance really sufficient? Here are some undeniable facts: It assumes that return distributions are fully characterized by means and covariances, being symmetric bell-shaped curves. ...

Is mean-variance really sufficient?

Read more about it here: substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment #risk #data

I look forward to presenting at CQF Institute’s Portfolio Management in Quant Finance conference next week.

I will present from 15:10 to 15:45 (GMT) according to the schedule below.

Read more and register here: cqfinstitute.org/events/confe...

#quant #finance #markets #investment #tailrisk #cml

Modern Investment Technology March 2026 edition of the Portfolio Construction newsletter, presenting perspectives on modern investment technology.

A summary of modern investment technology, including what it looks like and what it can do.

In the end, there is a popular posts recap. Make sure to check it out :-)

#quant #quantsky #finance #markets #python #investing #investment

Conditional Maximum Loss Limits This article examines how large Conditional Maximum Loss (CML) problems we can solve on normal-sized servers.

How large path-dependent tail risk optimization problems can we solve on normal-sized servers?

This Python case study presents how fast we can solve large Conditional Maximum Loss (CML) portfolio optimization problems.

#quant #quantsky #finance #markets #python #investing #investment #data #risk

Anton Vorobets (@antonvorobets) It is essential to get the foundation right for investment models. I often see models that “take many things into account” while being fundamentally wrong. The attention to detail leaves an impressi...

It is essential to get the foundation right for investment models.

I often see models that “take many things into account” while being fundamentally wrong.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #investment #trading #models

Anton Vorobets (@antonvorobets) Perspective on structural breaks in investment markets. Lately, I have seen more posts about structural breaks, defined as a fundamental change in the data generating process. Such breaks probably h...

Perspective on structural breaks in investment markets.

substack.com/profile/1707...

#quant #quantsky #finance #markets #investing #python

Lecture 1: Intro and Python setup The first lecture of the Applied Quantitative Investment Management course, including Python setup.

Check out the first lecture of the Applied Quantitative Investment Management course.

It gives an overview of the Fully General Investment Framework (FGIF) that is carefully presented in the Portfolio Construction and Risk Management book.

#quant #quantsky #finance #markets #python #investing

Conditional Maximum Loss Article This post contains the latest version of the Conditional Maximum Loss Portfolio Optimization article by Kristensen and Vorobets (2026).

An updated version of the Conditional Maximum Loss (CML) Portfolio Optimization article.

Laura Kristensen and I have recently added some minor clarifications.

Find the latest version of the article and its Python code below.

#quant #quantsky #finance #markets #python #investment #risk #cml

Anton Vorobets (@antonvorobets) Utility theory is the pinnacle of anecdotal dogma. I find it tragicomical when someone claims that my statements about investment risk being characterized as losses are anecdotal compared to utility ...

Utility theory is the pinnacle of anecdotal dogma.

Let’s be perfectly clear: the empirical support for utility theory is non-existent.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #markets #investing #investment #python

Anton Vorobets (@antonvorobets) Important nuances of good risk budgeting and portfolio construction. The equation below decomposes a portfolio’s risk into long-term, short-term and diversification risks. This is a typical perspect...

Important nuances of good risk budgeting and portfolio construction.

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #riskmanagement #portfolioconstruction #investment #investing #data

Resampling Benefits for Investment Simulation This article summarizes the benefits of resampling methods for high-dimensional investment market simulation.

Understanding the benefits of resampling for high-dimensional investment simulation.

Resampling methods have the convenient feature that they can capture the cross-sectional dependencies, no matter how complex or high-dimensional they are.

#quant #quantsky #finance #markets #python #investing

Anton Vorobets (@antonvorobets) Understanding the Fully General Investment Framework (FGIF). The name comes from the fact that the market is represented by fully general Monte Carlo simulation paths. These can contain plain-vanill...

Understanding the Fully General Investment Framework (FGIF):

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #investment #cvar #cml #tailrisk

Anton Vorobets (@antonvorobets) Perspectives on econophysics for investment analysis. Econophysics is essentially an application of physics concepts and methods to finance and economics problems. While I fully agree that new appro...

Perspectives on econophysics and investment analysis including entropy.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #Investment #data #risk #entropy #physics

Foundational Mean-Variance Problems February 2026 edition of the Portfolio Construction newsletter, summarizing the foundational problems with variance-based investment approaches.

This newsletter tells a story that I have told many times. Still, I present new perspectives here.

At the end, there is the usual popular posts recap. Make sure to check it out :-)

#quant #quantsky #finance #markets #python #investing #investment #data #risk #cvar #cml

Conditional Maximum Loss Portfolio Optimization This article summarizes the new Conditional Maximum Loss (CML) investment risk measure and presents an exclusive risk budgeting Python case study.

Conditional Maximum Loss (CML) is a game changer for path-dependent tail risk optimization.

This article introduces a new investment risk measure specifically designed for fully general Monte Carlo path simulations.

#quant #quantsky #finance #markets #python #investing #investment #cvar #cml

GitHub - fortitudo-tech/fortitudo.tech: Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python. Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python. - fortitudo-tech/fortitudo.tech

We recently released version 1.2.2 of the fortitudo-tech Python package.

You can install the package with a simple “pip install fortitudo-tech”

Find the source code and further installation instructions here: github.com/fortitudo-te...

#quant #quantsky #finance #markets #python #investing #data