Anton Vorobets

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

Anton Vorobets (@antonvorobets) I really look forward to presenting at CQF Institute’s Portfolio Management in Quant Finance conference. I will share some very interesting new results, so this is a unique opportunity to be among th...

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

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

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

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) It’s not about using many different investment risk measures, it’s about using the right ones. I often come across libraries that offer portfolio optimization with many different risk measures. Howe...

It’s not about using many different investment risk measures, it’s about using the right ones.

Read here why CVaR is popular: substack.com/@antonvorobe...

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

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:

substack.com/profile/1707...

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

Sequential Entropy Pooling @ University of Hohenheim Guest lecture presenting the Sequential Entropy Pooling (SeqEP) method by Anton Vorobets at University of Hohenheim.

Sequential Entropy Pooling (SeqEP) lecture from the Portfolio Management course at University of Hohenheim.

I recently gave a lecture about Sequential Entropy Pooling, an incredibly powerful method for views and stress testing of fully general investment distributions.

#quant #quantsky #finance

Anton Vorobets (@antonvorobets) You might have missed this post, announcing Python code for the Fully Flexible Resampling method. The Fully Flexible Resampling method is an instance of the more general Time- and State-Dependent Res...

You might have missed this post, announcing Python code for the Fully Flexible Resampling method.

substack.com/profile/1707...

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

Investment framework and methods overview | Anton Vorobets A summary of my investment and risk management work. I recently reached 10,000 followers on LinkedIn, more than half following within the last year. Naturally, the new followers haven’t seen what I ...

A summary of my investment and risk management work.

I recently reached 10,000 followers on LinkedIn, more than half following within the last year.

Naturally, the new followers haven’t seen what I have shared in the prior four years: www.linkedin.com/posts/antonv...

#quant #quantsky #finance

Happy Quantametal Year January 2026 edition of the Portfolio Construction newsletter, summarizing 2025 and revealing plans for 2026.

Start the year with a quantamental review and get insights about future results that will be revealed soon.

The January 2026 edition of the Portfolio Construction newsletter is available below.

It also contains a popular posts recap; in case you miss something during the holiday period.

#quant

Anton Vorobets (@antonvorobets) A very interesting dialogue with Johannes from @Quant Enthusiasts. We talk about many fundamental aspects related to the future of quantitative investment and risk management. Finally, there are som...

A very interesting dialogue with Johannes from Quant Enthusiasts.

We talk about many fundamental aspects related to the future of quantitative investment and risk management.

Make sure to check it out: substack.com/@antonvorobe...

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

Anton Vorobets (@antonvorobets) Request for feedback on the investment mathematics appendix. I am currently working on a mathematical appendix for the Portfolio Construction and Risk Management book. This is intended as a quick ov...

Request for feedback on the investment mathematics appendix.

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

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

Anton Vorobets (@antonvorobets) A structured way to analyze the effect of geopolitical and macroeconomic shocks for fully general P&L simulations. Many qualitative predictions are made about the consequences of recent geopolitical ...

A structured way to analyze the effect of geopolitical and macroeconomic shocks for fully general P&L simulations.

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

#quant #quantsky #finance #markets #python #investing #bayesian #macro #geopolitics

Anton Vorobets (@antonvorobets) Doing what most others do and “playing on the winning team” are opposites when it comes to investment management. I recently saw a post by a quant influencer recommending followers to “play on the wi...

Doing what most others do and “playing on the winning team” are opposites when it comes to investment management.

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

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

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