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

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

Major Book Update This article describes some of the recent and forthcoming updates to the Portfolio Construction and Risk Management book.

Major Portfolio Construction and Risk Management book update.

I shared the first public version one year ago, and I am still editing the book based on reader feedback.

Please let me know what you think about the new additions.

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

Anton Vorobets (@antonvorobets) How to give constructive feedback on investment methods and frameworks. I proactively ask for feedback and adjust my work accordingly. I think it is essential for solving the problems that people exp...

How to give constructive feedback on investment methods and frameworks:

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#quant #quantsky #finance #markets #investment #variance #cvar #python #data

Anton Vorobets (@antonvorobets) Portfolio construction and risk management summary for 2025. This year seems to have been a breaking point for how people plan to approach investment management in the future. More people are becomi...

Portfolio construction and risk management summary for 2025.

This year seems to have been a breaking point for how people plan to approach investment management in the future.

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

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

Optimal Gold Allocation This article performs CVaR portfolio optimization to assess the size of the optimal gold allocation for portfolios with various risk targets.

What is the tail risk optimal allocation for gold in a multi-asset portfolio?

This case study optimizes the 95%-CVaR of multi-asset portfolios with various risk targets.

You can find the results and Python code in the Substack post below

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

Lecture 10: Resampled Portfolio Optimization Watch now | This lecture goes through Section 6.4 from the Portfolio Construction and Risk Management book, presenting Resampled Portfolio Stacking.

This is an important lecture about portfolio optimization with fully general parameter uncertainty.

It allows us to handle general risk measures, derivative instruments, and take diversification interactions into account.

Make sure to check it out if you missed it!

#quant #quantsky #finance #cvar

Anton Vorobets (@antonvorobets) An interesting discrepancy between how derivatives are handled in practice and the feedback for this article. When people study the derivatives framework below, they often tell me that it’s obvious, ...

An interesting discrepancy between how derivatives are handled in practice and the feedback for this article.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #derivarives #cvar #entropypooling #investing #investment

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

Anton Vorobets (@antonvorobets) The mean-variance excuses are just hilarious. I recently saw someone write: “old theory is taught, so that new and better methods can be appreciated more.” It’s like a restaurant that intentionally ...

The mean-variance excuses are just hilarious.

I recently saw someone write: “old theory is taught, so that new and better methods can be appreciated more.”

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

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

High-Dimensional CVaR Optimization This article presents a Python case study that optimizes the CVaR for a portfolio of 2000 stocks, illustrating that such problems are practically feasible.

Busting the high-dimensional CVaR optimization myth!

Some people question whether CVaR optimization is feasible for high-dimensional portfolios.

Below is a Python case study that optimizes the 95%-CVaR over 10000 joint scenarios for 2000 stocks.

#quant #quantsky #cvar #python #risk #investing

Lecture 12: Tail Risk Hedging and Analysis This lecture goes through Chapters 7 and 8 from the Portfolio Construction and Risk Management book, presenting tail risk hedging and analysis.

You might have missed the last lecture of the Applied Quantitative Investment Management course.

This lecture is about tail risk hedging and analysis, a topic that many are concerned with in practice.

Make sure to check it out.

#quant #quantsky #finance #investing #risk #management #python #cvar

Celebrating Cypriot Heritage Through Fashion History in Nicosia The vibrant Cypriot culture is celebrated in a unique fashion show that intertwines historical garments with the island's rich storytelling through clothing.

Celebrating Cypriot Heritage Through Fashion History in Nicosia #Cyprus #BE_OPEN #Nicosia #CVAR

Celebrating Cypriot Heritage Through History of Fashion in Nicosia On October 18, a historical street in Nicosia showcased an outdoor fashion show, celebrating Cypriot heritage through stunning garments and storytelling.

Celebrating Cypriot Heritage Through History of Fashion in Nicosia #Cyprus #BE_OPEN #Nicosia #CVAR #Cyprus_Fashion

Celebrating Cypriot Heritage Through Fashion: A Runway Story in Nicosia An open-air fashion show in Nicosia highlights Cyprus's cultural identity, showcasing historical garments through a unique collaboration between BE OPEN and CVAR.

Celebrating Cypriot Heritage Through Fashion: A Runway Story in Nicosia #Cyprus #BE_OPEN #Nicosia #CVAR #Cypriot_Culture

Celebrating Cypriot Heritage Through Fashion: A Unique Historical Showcase An open-air fashion show in Nicosia united the past with the present, displaying the vibrant history of Cypriot culture through clothing.

Celebrating Cypriot Heritage Through Fashion: A Unique Historical Showcase #Cyprus #BE_OPEN #Nicosia #CVAR #Cyprus_Fashion

Anton Vorobets (@antonvorobets) An illustration of why CVaR optimization is strictly better than variance optimization. Mean-variance optimization gives correct results if return distributions are elliptical, for example, normal or...

An illustration of why CVaR optimization is strictly better than variance optimization.

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

#quant #quantsky #finance #markets #python #investing #investment #trading #volatility #cvar

Quantum Subgradient Method Reduces CVaR Optimization Queries

Researchers show a quantum subgradient oracle can estimate CVaR gradients with O(1/ε) queries, a near‑quadratic improvement over the classical O(1/ε²) Monte Carlo cost. getnews.me/quantum-subgradient-meth... #quantum #cvar #optimization

Exploring Cypriot Heritage through Fashion: Here Come the Cypriots Here Come the Cypriots is a cultural event blending history and fashion, celebrating Cyprus's rich heritage through a unique runway show. Join us in Nicosia!

Exploring Cypriot Heritage through Fashion: Here Come the Cypriots #Cyprus #BE_OPEN #Nicosia #CVAR #Cypriot_Heritage

Here Come the Cypriots: A Unique Celebration of Cypriot Heritage Through Fashion Discover 'Here Come the Cypriots,' an innovative cultural event showcasing Cyprus' rich heritage through historical fashion, blending education with entertainment.

Here Come the Cypriots: A Unique Celebration of Cypriot Heritage Through Fashion #Cyprus #BE_OPEN #Nicosia #CVAR

Robust Neural Network Safety Verification via Worst‑Case CVaR

Researchers introduced a robust verification using worst‑case CVaR, showing SDP solves in comparable time to traditional QC/SDP and testing on a benchmark control system and image‑recognition. Read more: getnews.me/robust-neural-network-sa... #cvar #nn

Lecture 9: Portfolio Optimization This lecture goes through Sections 6.1-6.3 from the Portfolio Construction and Risk Management book, introducing portfolio optimization.

This lecture introduces advanced portfolio optimization, including sophisticated portfolio construction perspectives.

If you are fairly new to these topics, the lecture will significantly accelerate your understanding.

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

Quantamental Investing | Anton Vorobets | Substack Applied quantitative investment management content and updates on the Portfolio Construction and Risk Management book. Click to read Quantamental Investing, by Anton Vorobets, a Substack publication w...

Check out the Applied Quantitative Investment Management course.

It presents many new methods for institutional investment management of complex portfolios.

Find it here: antonvorobets.substack.com/t/course

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

Portfolio Construction and Risk Management book | Fortitudo Technologies Updated Portfolio Construction and Risk Management book. We have recently updated the PDF based on reader feedback. It truly makes the book better and clearer. Thank you! The book presents a cohesiv...

Check out this update of the Portfolio Construction and Risk Management book:

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

#quant #quantsky #finance #markets #python #investing #risk #cvar #entropypooling #riskmanagement #data

A bit of a niche tidbit: The 'Bake Material Position Offset Into Collision' landscape feature depends on the grass.Enable cvar being enabled (set to 1) to work properly. #ue5 #uetips #landscape #cvar

5. Sequential Entropy Pooling Theory and Examples This video post carefully goes through the Sequential Entropy Pooling theory and presents many sophisticated Python case studies.

This video presents advanced views and stress-testing for fully general multi-asset distributions.

These are the most advanced examples that I have shared publicly: antonvorobets.substack.com/p/5-sequenti...

#quant #quantsky #finance #markets #investing #risk #entropypooling #data #python #cvar

Anton Vorobets on Substack Highlighting the most impactful chapters in the Portfolio Construction and Risk Management book. While I hope you read everything, Chapters 5 and 6 contain most of the new results and perspectives. ...

The most impactful chapters in the Portfolio Construction and Risk Management book:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #investing #python #riskmanagement #cvar #entropypooling

Anton Vorobets on Substack What defines a good investment risk measure? First and foremost, it focuses on large losses and is meaningful for fully general return distributions. Second, it is fairly easy to interpret and intuit...

Check out this note about the characteristics of good investment risk measures:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #investing #riskmanagement #python #equity #cvar #investment

Unreal Engine 5 toolbar, Window selected, Console Variables selected and checkmarked within the menu.

Console Variables interface, showing: add console variable button, presets dropdown button, 2 console variables (antialiasing method set to a non-default value of 2, and bloom quality set to a value of 5).

Use the Console Variables panel to search for CVars, easily review which you've used, revert to default values, and/or save and load presets. #ue5 #tip #tidbit #cvar