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November 13, 2025 at 1:48 PM

Reposted by Anton Vorobets

Fortitudo Technologies

@fortitudo-tech.bsky.social

Have you seen our YouTube channel?

We share a lot of educational content there, for example, walkthrough videos of our open-source Python package and scientific articles.

Check it out here: www.youtube.com/@fortitudo-t...

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

Fortitudo Technologies

www.youtube.com

November 12, 2025 at 3:42 PM

Anton Vorobets

@antonvorobets.com

Make sure to check out the last two lectures of the Applied Quantitative Investment Management course:

Here is a Substack Note about lecture 11: substack.com/profile/1707...

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

I noticed a sudden drop in the watch time of the last lectures of the Applied Quantitative Investment Management course. I don’t know if it is due to people returning from holiday or some other issue...

November 10, 2025 at 1:24 PM

Anton Vorobets

@antonvorobets.com

Don’t go down with the sinking mean-variance ship:

substack.com/profile/1707...

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

Don’t go down with the sinking mean-variance ship. Mean-variance is the technology that most investment managers understand will not lead to better performance and may even be a recipe for disaster. ...

November 8, 2025 at 2:18 PM

Anton Vorobets

@antonvorobets.com

The benefits of a strong quantitative investment foundation:

substack.com/profile/1707...

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

The benefits of a strong quantitative investment foundation. I am sometimes asked why I don’t just use some variance based starting point and make small improvements to a traditional method. This is...

November 1, 2025 at 1:18 PM

Anton Vorobets

@antonvorobets.com

Who shared the pcrm-book repository?

Read more in this Substack Note: substack.com/@antonvorobe...

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

Who shared the pcrm-book repository? :-) A couple of days ago, there was a large increase in traffic. Does someone know where it was shared? If you haven’t seen the repository yet, it contains many ...

Announcing versions 1.07 and 1.11 for the Investment Simulation and Investment Analysis modules. We have added some important features that we have been working on for a long time. Most… | Fortitudo...

October 31, 2025 at 12:56 PM

Reposted by Anton Vorobets

Fortitudo Technologies

@fortitudo-tech.bsky.social

Announcing versions 1.07 and 1.11 for the Investment Simulation and Investment Analysis modules.

www.linkedin.com/feed/update/...

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

Announcing versions 1.07 and 1.11 for the Investment Simulation and Investment Analysis modules. We have added some important features that we have been working on for a long time. Most importantly,...

www.linkedin.com

October 30, 2025 at 1:41 PM

Anton Vorobets

@antonvorobets.com

I recently had the pleasure of having a dialogue with Quant Enthusiasts.

We talk about many fundamental topics such as the future of portfolio construction and risk management, tips for people who are entering the quantitative investment space and much more.

#quant #quantsky #finance #markets

Anton Vorobets @ Quant Enthusiasts

This video post contains the Quant Enthusiasts interview with Anton Vorobets.

October 29, 2025 at 1:45 PM

Anton Vorobets

@antonvorobets.com

Mathematical appendix for the Portfolio Construction and Risk Management book:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #python #investing #riskmanagement #investment #data #portfolio

Mathematical appendix for the Portfolio Construction and Risk Management book. The feedback on the Portfolio Construction and Risk Management book has been overwhelmingly positive. I am especially p...

October 27, 2025 at 12:51 PM

Anton Vorobets

@antonvorobets.com

A follow-up on the Sequential Entropy Pooling (SeqEP) knockoff:

substack.com/@antonvorobe...

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

A follow-up on the Sequential Entropy Pooling (SeqEP) knockoff. Some months ago, I learned about a copy of SeqEP, which gets fundamental aspects wrong and clearly leads to worse expected performance....

Resampling Persistent Time Series

October 24, 2025 at 3:13 PM

Anton Vorobets

@antonvorobets.com

How to resample persistent but stationary times series.

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

This article explains how we can resample persistent time series that are expected to mean revert to long-term averages.

October 23, 2025 at 12:48 PM

Anton Vorobets

@antonvorobets.com

An illustration of why CVaR optimization is strictly better than variance optimization.

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

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

An illustration of why CVaR optimization is strictly better than variance optimization. Mean-variance optimization gives correct results if return distributions are elliptical, for example, normal or...

October 21, 2025 at 11:53 AM

Anton Vorobets

@antonvorobets.com

Exclusive Quantamental Investing case studies.

So far, there are two about multi-asset macro models and simulation. These are foundational for future case studies, so I highly recommend that you start with them.

substack.com/profile/1707...

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

I have added a new tag to make it easier for you to find the exclusive monthly case studies that include an advanced application of the investment framework presented in the Portfolio Construction and...

Quantamental Investing Updates

October 20, 2025 at 2:15 PM

Anton Vorobets

@antonvorobets.com

Some important updates and tips for getting the most out of Quantamental Investing.

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

This article summarizes important updates for the Quantamental Investing Substack publication.

Applied Quantitative Investment Management Course Overview | Anton Vorobets

October 15, 2025 at 12:51 PM

Anton Vorobets

@antonvorobets.com

An overview of the Applied Quantitative Investment Management lectures:

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

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

An overview of the Applied Quantitative Investment Management lectures. The PDF below gives an overview of the 12 lectures that carefully go through the Portfolio Construction and Risk Management boo...

www.linkedin.com

October 14, 2025 at 1:10 PM

Anton Vorobets

@antonvorobets.com

Time in the market beats timing the market!

This has certainly been my experience with gold investing.

I think gold serves as an important diversifier in a multi-asset portfolio, being a non-financial asset:

substack.com/profile/1707...

#quant #quantsky #finance #markets #gold #investing

Time in the market beats timing the market! This has certainly been my experience with gold investing. Occasionally, we might make “perfect trades”, where we sell at the top or buy at the bottom. I...

Join Anton Vorobets’ subscriber chat

October 13, 2025 at 12:46 PM

Anton Vorobets

@antonvorobets.com

An update to my Substack chat!

I have enabled the chat for all subscribers, but only paid subscribers can start new threads and ask questions about the scientific content from.

Free subscribers can ask questions in the practical Q&A thread and see replies.

antonvorobets.substack.com/chat

#quant

Subscribe to Quantamental Investing and join the conversation.

antonvorobets.substack.com

October 13, 2025 at 11:18 AM

Anton Vorobets

@antonvorobets.com

A necessary condition for beating the market is doing something differently than the majority.

Even if you disregard the lack of empirical support, how do you evaluate CAPM, Black-Litterman, and mean-variance on this metric? :-)

#quant #quantsky #finance #investing

October 10, 2025 at 12:38 PM

Anton Vorobets

@antonvorobets.com

Most investment quants know that CVaR optimization problems can be solved using linear programming.

But how fast and stable can we solve these problems for fully general distributions, derivative portfolios, transaction costs, and absolute leverage constraints?

#quant #quantsky #finance #python

How challenging is CVaR optimization?

This article presents the challenges of solving fully general CVaR optimization problems in Python.

This is the October edition of the Portfolio Construction newsletter, giving an overview of the Applied Quantitative Investment Management lectures.

October 8, 2025 at 12:44 PM

Anton Vorobets

@antonvorobets.com

Some people accuse me of “promotion” in my articles and the Portfolio Construction and Risk Management book.

But wouldn’t it be strange if I recommended one thing in my scientific work and did something else in practice?

I am not a mean-variance proponent after all :-)

#quant #finance #quantsky

October 6, 2025 at 12:41 PM

Anton Vorobets

@antonvorobets.com

October edition of the Portfolio Construction newsletter.

This edition gives an overview of the Applied Quantitative Investment Management lectures in addition to the popular posts recap since the last newsletter.

Make sure to check it out :-)

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

Course Complete

Quant Conversations with Anton Vorobets on Portfolio Construction, Risk, and the future of quant

October 2, 2025 at 12:46 PM

Anton Vorobets

@antonvorobets.com

Yesterday, I had the please of being interview by Johannes Meyer from Quant Enthusiasts.

We talk about the future of portfolio construction, risk management, and investment technology.

Watch the interview here: www.youtube.com/watch?v=YYGf...

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

YouTube video by QuantEnthusiasts

www.youtube.com

October 1, 2025 at 3:27 PM

Anton Vorobets

@antonvorobets.com

I am very happy with the feedback that I have received on Chapter 5 about fully general market views and stress testing.

This chapter contains a comprehensive presentation of Sequential Entropy Pooling (SeqEP) and its various use cases.

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

#quant #quantsky #finance

Chapter 5 Market Views and Stress Testing | Anton Vorobets

I am very happy with the feedback that I have received on Chapter 5 about fully general market views and stress testing. This chapter contains a comprehensive presentation of Sequential Entropy Pooli...

www.linkedin.com

September 30, 2025 at 12:46 PM

Anton Vorobets

@antonvorobets.com

Lecture about tail risk hedging and analysis.

This lecture covers sophisticated tail risk hedging, stress testing, and common pitfalls to avoid.

It also introduces the foundations of risk analysis, including marginal risk contributions and risk-adjusted perspectives.

#quant #quantsky #finance

Lecture 12: Tail Risk Hedging and Analysis

This lecture goes through Chapters 7 and 8 from the Portfolio Construction and Risk Management book, presenting tail risk hedging and analysis.