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 | 116 | Founded | 2 years ago | Last Issue | 6 days ago |
| Active | |||||
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antonvorobets.substack.comLatest Issues
Derivatives Portfolio Optimization Parameter Uncertainty Article
Figure 1 from the Derivatives Portfolio Optimization and Parameter Uncertainty article illustrating a CVaR efficient frontier.
As explained in the Portfolio Management Framework for Derivative Instruments article, elegant handling of deriv...
Time- and State-Dependent Resampling Article
Figure 2 from the Time- and State-Dependent Resampling article, illustrating historical scenario probabilities for various implied volatility states.
There are several challenges when it comes to realistic, high-dimensional market simulati...
Summer Reading Recommendations
A description of the Fully General Investment Framework’s (FGIF) market representation from the Portfolio Construction and Risk Management book.
The work with the Portfolio Construction and Risk Management book continues. I hope to soon fi...
Inverse Bayesian Inference
This Python case study illustrates how we can use Bayesian networks in an inverse way to, for example, determine the macro conditions for rate hikes.
As briefly mentioned in Section 3.4 of the Causal and Predictive Market Views and Stress...
Academic Confirmation Bias
Maintaining the status quo and searching for information that confirms its sufficiency are fairly well established human biases. Hence, producing research that satisfies these biases is an easy way to make it popular among many, although it...
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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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