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January 22, 2026 at 1:49 PM

Anton Vorobets

@antonvorobets.com

It’s not about using many different investment risk measures, it’s about using the right ones.

Read here why CVaR is popular: substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment #risk

It’s not about using many different investment risk measures, it’s about using the right ones. I often come across libraries that offer portfolio optimization with many different risk measures. Howe...

January 20, 2026 at 1:49 PM

Anton Vorobets

@antonvorobets.com

How to give constructive feedback on investment methods and frameworks:

substack.com/profile/1707...

#quant #quantsky #finance #markets #investment #variance #cvar #python #data

How to give constructive feedback on investment methods and frameworks. I proactively ask for feedback and adjust my work accordingly. I think it is essential for solving the problems that people exp...

Sequential Entropy Pooling @ University of Hohenheim

January 17, 2026 at 2:41 PM

Anton Vorobets

@antonvorobets.com

Sequential Entropy Pooling (SeqEP) lecture from the Portfolio Management course at University of Hohenheim.

I recently gave a lecture about Sequential Entropy Pooling, an incredibly powerful method for views and stress testing of fully general investment distributions.

#quant #quantsky #finance

Guest lecture presenting the Sequential Entropy Pooling (SeqEP) method by Anton Vorobets at University of Hohenheim.

January 15, 2026 at 1:49 PM

Anton Vorobets

@antonvorobets.com

You might have missed this post, announcing Python code for the Fully Flexible Resampling method.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #investment #data #risk

You might have missed this post, announcing Python code for the Fully Flexible Resampling method. The Fully Flexible Resampling method is an instance of the more general Time- and State-Dependent Res...

Investment framework and methods overview | Anton Vorobets

January 14, 2026 at 2:07 PM

Anton Vorobets

@antonvorobets.com

A summary of my investment and risk management work.

I recently reached 10,000 followers on LinkedIn, more than half following within the last year.

Naturally, the new followers haven’t seen what I have shared in the prior four years: www.linkedin.com/posts/antonv...

#quant #quantsky #finance

A summary of my investment and risk management work. I recently reached 10,000 followers on LinkedIn, more than half following within the last year. Naturally, the new followers haven’t seen what I ...

www.linkedin.com

January 13, 2026 at 1:51 PM

Anton Vorobets

@antonvorobets.com

Start the year with a quantamental review and get insights about future results that will be revealed soon.

The January 2026 edition of the Portfolio Construction newsletter is available below.

It also contains a popular posts recap; in case you miss something during the holiday period.

#quant

Happy Quantametal Year

January 2026 edition of the Portfolio Construction newsletter, summarizing 2025 and revealing plans for 2026.

January 8, 2026 at 1:45 PM

Anton Vorobets

@antonvorobets.com

A very interesting dialogue with Johannes from Quant Enthusiasts.

We talk about many fundamental aspects related to the future of quantitative investment and risk management.

Make sure to check it out: substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment

A very interesting dialogue with Johannes from @Quant Enthusiasts. We talk about many fundamental aspects related to the future of quantitative investment and risk management. Finally, there are som...

January 6, 2026 at 1:42 PM

Anton Vorobets

@antonvorobets.com

Request for feedback on the investment mathematics appendix.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #mathematics #python #investment #investing #markets

Request for feedback on the investment mathematics appendix. I am currently working on a mathematical appendix for the Portfolio Construction and Risk Management book. This is intended as a quick ov...

January 5, 2026 at 1:51 PM

Anton Vorobets

@antonvorobets.com

A structured way to analyze the effect of geopolitical and macroeconomic shocks for fully general P&L simulations.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #bayesian #macro #geopolitics

A structured way to analyze the effect of geopolitical and macroeconomic shocks for fully general P&L simulations. Many qualitative predictions are made about the consequences of recent geopolitical ...

January 4, 2026 at 12:43 PM

Anton Vorobets

@antonvorobets.com

Doing what most others do and “playing on the winning team” are opposites when it comes to investment management.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investment

Doing what most others do and “playing on the winning team” are opposites when it comes to investment management. I recently saw a post by a quant influencer recommending followers to “play on the wi...

January 2, 2026 at 2:22 PM

Anton Vorobets

@antonvorobets.com

Portfolio construction and risk management summary for 2025.

This year seems to have been a breaking point for how people plan to approach investment management in the future.

Read more about it here: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #cvar

Portfolio construction and risk management summary for 2025. This year seems to have been a breaking point for how people plan to approach investment management in the future. More people are becomi...

This article performs CVaR portfolio optimization to assess the size of the optimal gold allocation for portfolios with various risk targets.

December 31, 2025 at 1:55 PM

Anton Vorobets

@antonvorobets.com

What is the tail risk optimal allocation for gold in a multi-asset portfolio?

This case study optimizes the 95%-CVaR of multi-asset portfolios with various risk targets.

You can find the results and Python code in the Substack post below

#quant #quantsky #finance #markets #python #investing #cvar

Optimal Gold Allocation

December 30, 2025 at 1:54 PM

Anton Vorobets

@antonvorobets.com

Thank you for reading the Quantamental Investing publication.

As a nice Christmas present, it just hit more than 4000 subscribers.

If you haven’t seen it yet, make sure to check it out.

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #investment #quantametal

Thank you for reading the Quantamental Investing publication. As a nice Christmas present, it just hit more than 4000 subscribers. Compared to the largest publications, this is a low number. But ta...

Lecture 10: Resampled Portfolio Optimization

December 25, 2025 at 3:57 PM

Anton Vorobets

@antonvorobets.com

This is an important lecture about portfolio optimization with fully general parameter uncertainty.

It allows us to handle general risk measures, derivative instruments, and take diversification interactions into account.

Make sure to check it out if you missed it!

#quant #quantsky #finance #cvar

Watch now | This lecture goes through Section 6.4 from the Portfolio Construction and Risk Management book, presenting Resampled Portfolio Stacking.

December 22, 2025 at 9:53 AM

Anton Vorobets

@antonvorobets.com

For investment technology, you can do 95% of the work in 5% of the time.

So what's the problem? Find out here: substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #investment #data #software

For investment technology, you can do 95% of the work in 5% of the time. However, it is the last 5% of work that makes the difference between it being practically relevant or not, and it takes the re...

Fully Flexible Resampling Python code

December 19, 2025 at 1:52 PM

Anton Vorobets

@antonvorobets.com

Powerful high-dimensional investment simulation with just 3 lines of Python code.

This article explains how you can easily use the Fully Flexible Resampling (FFR) method in Python.

#quant #quantsky #finance #markets #python #investing #simulation #investment #fullyflexibleresampling

This article presents the Fully Flexible Resampling (FFR) functionality from the fortitudo.tech Python package.

December 18, 2025 at 1:46 PM

Anton Vorobets

@antonvorobets.com

An interesting discrepancy between how derivatives are handled in practice and the feedback for this article.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #derivarives #cvar #entropypooling #investing #investment

An interesting discrepancy between how derivatives are handled in practice and the feedback for this article. When people study the derivatives framework below, they often tell me that it’s obvious, ...

13. High-Dimensional CVaR Portfolio Optimization

December 16, 2025 at 1:51 PM

Anton Vorobets

@antonvorobets.com

A video walkthrough of the high-dimensional CVaR portfolio optimization Python code.

#quant #quantsky #finance #markets #python #investing #cvar #risk #tailrisk

This video goes through example 13 from the fortitudo.tech Python package, presenting high-dimensional CVaR portfolio optimization.