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 | 111 | Founded | 2 years ago | Last Issue | 6 days ago |
| Active | |||||
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antonvorobets.substack.comLatest Issues
Normal Distribution Myth Article
p-value and test statistic historgrams from normality tests for yearly log returns of 10 US equity indices.
As explained in Chapter 2 of the Portfolio Construction and Risk Management book as well as Lecture 2: Stylized Market Facts from t...
Fully General Investment Framework (FGIF)
Illustration of the Fully General Investment Framework (FGIF) market representation.
This newsletter summarizes what is actually meant by the Fully General Investment Framework (FGIF).
The name comes from the fact that its core consists o...
CVaR Risk Budgeting
This article contains several Python examples of how CVaR risk budgeting is performed and analyzed through Sequential Entropy Pooling (SeqEP) stress tests.
As Chapter 6 of the Portfolio Construction and Risk Management book carefully expla...
Derivatives Portfolio Management Article
Illustration of CVaR and variance optimization of a multi-asset portfolio containing derivatives.
As derivative instruments become a more natural part of investment portfolios, there is a need for a portfolio management framework that alig...
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...
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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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