Lightnews — Scholar-powered news

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.

December 11, 2025 at 1:47 PM

Anton Vorobets

@antonvorobets.com

The mean-variance excuses are just hilarious.

I recently saw someone write: “old theory is taught, so that new and better methods can be appreciated more.”

Read more about it here: substack.com/@antonvorobe...

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

The mean-variance excuses are just hilarious. I recently saw someone write: “old theory is taught, so that new and better methods can be appreciated more.” It’s like a restaurant that intentionally ...

December 9, 2025 at 1:54 PM

Anton Vorobets

@antonvorobets.com

Thank you for reading and supporting the Quantamental Investing publication.

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

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

Thank you for reading and supporting the Quantamental Investing publication. I am very happy that it has reached a trending spot due to your support. This motivates me to provide even more value for...

This post is a reminder that it is the last chance to get the Black Friday discount on yearly subscriptions to the Quantamental Investing publication.

December 7, 2025 at 1:48 PM

Anton Vorobets

@antonvorobets.com

Last chance to grab the Black Friday deal.

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

Black Friday Last Chance

December 5, 2025 at 1:39 PM

Anton Vorobets

@antonvorobets.com

What you can realistically expect from good multi-asset portfolio construction:

substack.com/@antonvorobe...

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

What you can realistically expect from good multi-asset portfolio construction. I sometimes meet people who say things like: “0.5%-1% extra return per year doesn’t really make a difference.” “So wh...

Sequential Entropy Pooling installation | Anton Vorobets

December 4, 2025 at 1:46 PM

Anton Vorobets

@antonvorobets.com

Clarifying misconceptions about the Python Entropy Pooling implementation:

www.linkedin.com/posts/antonv...

#quant #quantsky #finance #markets #python #entropypooling #seqep

Clarifying misconceptions about the Python Entropy Pooling implementation. I recently read an article that uses the Entropy Pooling implementation from the fortitudo-tech Python package. That’s grea...

www.linkedin.com

December 3, 2025 at 1:54 PM

Reposted by Anton Vorobets

Quantocracy

@quantocracy.bsky.social

Academic Anti-Science from @antonvorobets.bsky.social #quant

This is a longer edition of the Portfolio Construction newsletter, presenting the many ways that I have witnessed anti-scientific tendencies in finance and economics academia. If you are fully aware of these, and just want to skip to the popular posts recap, this is available at the bottom of the post. The TL;DR version is that the current academic system seems to foster a nepotistic environment

antonvorobets.substack.com

December 3, 2025 at 2:01 AM

Anton Vorobets

@antonvorobets.com

A summary of the anti-scientific tendencies in finance and economics academia.

At the end of this article, there is a popular posts recap. Make sure to check it out.

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

Academic Anti-Science

December edition of the Portfolio Construction newsletter, explaining how anti-science manifests itself in academic finance and economics.

Subscribe to Quantamental Investing

December 2, 2025 at 1:48 PM

Anton Vorobets

@antonvorobets.com

To celebrate Black Friday, there is currently a 25% discount on yearly subscriptions for the Quantamental Investing publication.

Find it here: antonvorobets.substack.com/blackfriday

#quant #quantsky #finance #markets #python #riskmanagement

Applied quantitative investment management using the investment framework and methods from the Portfolio Construction and Risk Management book. Click to read Quantamental Investing, by Anton Vorobets,...

antonvorobets.substack.com

November 28, 2025 at 12:53 PM

Anton Vorobets

@antonvorobets.com

Python case study of gold’s properties in a multi-asset portfolio, including VIX and inflation shocks.

It analyzes the properties of gold and the effect of a 5% allocation financed by low risk bonds.

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

Gold in Multi-Asset Portfolios

This article analyzes the characteristics of gold in multi-asset portfolios, including an analysis of inflation and VIX shocks.

November 27, 2025 at 1:47 PM

Anton Vorobets

@antonvorobets.com

The investment risk perception results are in!

Given the large majority think it’s losses, it’s even more surprising that academics keep spending so much time on variance.

Thera are also good news for people who truly think risk is variance: substack.com/profile/1707...

#quant #quantsky #finance

The investment risk perception results are in! Given the large majority think it’s losses, it’s even more surprising that academics keep spending so much time on variance. I have good news for those...

November 26, 2025 at 2:01 PM

Anton Vorobets

@antonvorobets.com

I struggle to understand why people continue to use twitter.

It is quite obvious that twitter is intentionally manipulating users by spreading lies and hate by allowing fake bot profiles to flourish.

Read more here: substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python

I struggle to understand why people continue to use twitter. It is quite obvious that twitter is intentionally manipulating users by spreading lies and hate by allowing fake bot profiles to flourish....