Quantamental Investing
Anton VorobetsApplied quantamental investment management using the Fully General Investment Framework (FGIF) from the Portfolio Construction and Risk Management book.
| Platform |  | Pricing | Freemium | Publishes | Weekly |
|---|---|---|---|---|---|
| Issues | 107 | Founded | 2 years ago | Last Issue | 11 days ago |
| Active | |||||
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antonvorobets.substack.comLatest Issues
Variance vs CVaR article
Illustration of properly formulated CVaR portfolio optimization problems for advanced portfolio construction.
Mainstream portfolio optimization is still understood to be mean-variance, despite its obvious disagreements with reality and inv...
Tail Risk Mathematics
Illustration of yearly S&P 500 returns as well as their 95%-VaR and 95%-CVaR.
I recently made a LinkedIn post about the Conditional Value-at-Risk (CVaR) terminology, which created a lot of semi-constructive debate.
CVaR is perhaps one of...
Portfolio Optimization Expected Return Sensitivity
This article includes a Python CVaR optimization case study to assess Resampled Portfolio Stacking's sensitivity to expected return estimates.
It is well known that portfolio optimization results are sensitive to the market model input, in...
Portfolio Optimization and Parameter Uncertainty Article
An illustration of the effect from introducing uncertainty into the means, variances and correlaton for mean-variance optimization.
Portfolio optimization is undoubtedly sensitive to the market model input, particularly the expected return...
Causal and Predictive Views and Stress Testing Article
Illustration of a macro multi-asset application of the Causal and Predictive Market Views and Stress Testing framework.
The Causal and Predictive Market Views and Stress Testing framework is a very powerful approach for implementing causal...
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The writers behind this newsletter.
I am Founder & CEO of Fortitudo Technologies; an investment technology company offering novel software solutions to the investment management industry. I share content about cutting-edge risk and analysis methods for sophisticated investors.
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