QuantStrategy
Thomas Osowski, Felix HaaseOur substack is about portfolio management and portfolio optimization. Only for educational purposes. Views are our own personal ones. No investment advice or recommendation to buy and sell any financial instrument. No confidentional or non-public info.
| Platform |  | Pricing | Only free issues | Publishes | Weekly |
|---|---|---|---|---|---|
| Issues | 10 | Founded | a year ago | Last Issue | 16 days ago |
| Active | |||||
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quantstrategy.substack.comLatest Issues
Welcome to QuantStrategy — Start Here
Most resources on portfolio optimization focus on one thing: the optimizer.
We think that’s too narrow.
Portfolio construction is a decision architecture — from raw assumptions and market views all the way to an implementable, explainable...
Why Portfolio Construction Is More Than Optimization
Abstract
In this article, I argue that portfolio construction is more than just obtaining asset weights from an optimization. Robust portfolio construction is a broader decision architecture — from scenario generation and disciplined view...
A Better Portfolio Optimization Framework: Risk Constraints First, Lexicographic Selection Second
Main topics:
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Why stronger risk constraints already improve portfolio optimization materially
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Why risk-feasible portfolios are not automatically the best final portfolios
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Why lexicographic selection still adds value by making...
Why the Optimal Portfolio Is Often Not the Best
Let’s dive into the main topics:
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Why small return changes can cause disproportionately large portfolio shifts
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How lexicographic optimization leads to smoother, more robust allocations
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Why that makes optimization easier to use...
The Frequency Trap: Why Daily Covariances Can Break Monthly Portfolios (Part 2)
0) Abstract
If you rebalance monthly but estimate covariances from daily returns (and then multiply by 21), you often end up comparing apples to oranges. While you are actually interested in the risk forecasts of one month (or even more...
Key Facts
Audience Metrics
Subscribers, engagement, traffic and sponsorship for QuantStrategy.
| Subscribers | Engagement | 68 | Monthly Web Visits | ||
|---|---|---|---|---|---|
| Accepts Sponsors | Estimated Cost per Ad | ||||
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Authors
The writers behind this newsletter.
Personal Writing on Quantitative Investing, Portfolio Construction and markets methods. Views are my own. Reach me: [email protected].
Economist with a passion for financial markets and their statistical modeling
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