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 | 118 | Founded | 2 years ago | Last Issue | 6 days ago |
| Active | |||||
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antonvorobets.substack.comLatest Issues
Entropy Pooling Fundamentals
Overview of the full and practical relative entropy minimization problem.
I recently had a surreal experience with Entropy Pooling (EP) where someone made a long series of fundamentally wrong claims.
I continued the dialog with this perso...
False Entropy Pooling Claims
Entropy Pooling is an incredibly powerful method for implementing market views and performing stress tests for fully general Monte Carlo investment simulations.
The method becomes especially powerful when it is applied in a sequential way,...
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...
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| Subscribers | Engagement | 72 | Monthly Web Visits | ||
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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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