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

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

13. High-Dimensional CVaR Portfolio Optimization This video goes through example 13 from the fortitudo.tech Python package, presenting high-dimensional CVaR portfolio optimization.

A video walkthrough of the high-dimensional CVaR portfolio optimization Python code.

#quant #quantsky #finance #markets #python #investing #cvar #risk #tailrisk

Rain in #Bristol. #Trump in #London. Markets at record highs.
Spitznagel, Marks, and Dalio say: Hold your champagne.
A crash may be coming, bring your #umbrella

Read More
tinyurl.com/Martello-Sto...

#Markets #Finance #TailRisk #HowardMarks #RayDalio #Spitznagel

#share #join #connect

Is Wall Street flying blind—high on history, short on memory?

Markets … “short memory” risks misjudging structural shifts, like a potential return to 1960s-style #inflation. #Investors may be clinging to post-2009 narratives that no longer fit today’s reality.

x.com/mohossain/st...
#Tailrisk

The Uniqueness of IT Cost Risk: A Cross-Group Comparison of 23 Project Types This paper measures and explains cost risk for IT projects, compared with 22 other project types. The null hypothesis is that IT projects are not different from

🔍 Flyvbjerg Friday: IT projects are uniquely risky, statistically more than managing nuclear waste.

👇🧵

Read the full paper here: papers.ssrn.com/sol3/Deliver...

#FlyvbjergFriday #ITRisk #ProjectManagement #DigitalTransformation #PublicSector #SlowThinking #TailRisk

Anton Vorobets on Substack Why I call it the next generation investment framework. The short answer is that I think it is the future mainstream investment approach that will replace the old variance-based methods. For anyone ...

Why I call it the next generation investment framework:

substack.com/profile/1707...

#quant #quantsky #finance #markets #investing #riskmanagement #tailrisk #investment #derivatives #volatility #investment #optimization #python #entropypooling #cvar

Bloomberg: “We have known Scott for many years,” Jens Nordvig, founder of financial research provider Exante Data, told clients over the weekend. “Scott will work very hard to reduce extreme #tailrisk for #markets, including importantly for the US #bondmarket & the #dollar, and for the #USeconomy.”

My biggest concern: a #jihadi is going to see #coronavirus & conclude: "I just have to eat some bats & cough on a bunch of people rather than blow up airplanes"

...Global unpreparedness for #bioterror is biggest #tailrisk which is unpriceable.

@Nouriel

Sandy illustrates a major reason economists see climate change as dangerous: its #tailrisk - Evan Soltas http://sto.ly/Sxn1EZ #climatechange