Applied quantamental investment management using the Fully General Investment Framework (FGIF) from the Portfolio Construction and Risk Management book.
| Platform |  | Pricing | Freemium | Publishes | Weekly |
|---|---|---|---|---|---|
| Issues | 128 | Founded | 3 years ago | Last Issue | 40 hours ago |
| Active | |||||
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Next-Generation Investment Technologies
Visualization of a Multi-Period Entropy Pooling (MPEP) stress test for the joint distribution of S&P500 and Utilities index.
Mean-variance might be one of the longest surviving tools that is fundamentally flawed in obvious ways, which I ca...
Visualizing Conditional Maximum Loss Views
Python case study illustrating how we can visualize Multi-Period Entropy Pooling (MPEP) Conditional Maximum Loss (CML) views.
This case study uses the Multi-Asset Macro Model to perform Multi-Asset Simulation for the ETFs IVV (S&P 500), HY...
Significant Book Update
Portfolio Construction and Risk Management book PDF front page.
I have just uploaded a new version of the Portfolio Construction and Risk Management book, which you can download for free in the post below.
It includes more methods and per...
Multi-Period Entropy Pooling Article
Multi-Period Entropy Pooling equations.
Entropy Pooling (EP) is an incredibly powerful method for implementing market views and stress testing fully general Monte Carlo distributions.
The method was first introduced by Meucci (2008) and r...
Multi-Period Tail Risk and Analysis
A mathematical overview of Conditional Maximum Loss (CML) Total Portfolio Optimization.
In recent years, there has been a lot of talk about Total Portfolio Approach (TPA), which essentially recommends considering the total portfolio risk w...
Key Facts
Audience Metrics
Subscribers, engagement, traffic and sponsorship for Quantamental Investing.
| Subscribers | Engagement | 71 | Monthly Web Visits | ||
|---|---|---|---|---|---|
| Accepts Sponsors | Estimated Cost per Ad | ||||
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Authors
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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