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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....

High-Dimensional CVaR Optimization

November 25, 2025 at 1:57 PM

Anton Vorobets

@antonvorobets.com

Clarification of some misconceptions about Monte Carlo for investment markets simulation:

substack.com/@antonvorobe...

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

November 25, 2025 at 8:06 AM

Anton Vorobets

@antonvorobets.com

Busting the high-dimensional CVaR optimization myth!

Some people question whether CVaR optimization is feasible for high-dimensional portfolios.

Below is a Python case study that optimizes the 95%-CVaR over 10000 joint scenarios for 2000 stocks.

#quant #quantsky #cvar #python #risk #investing

This article presents a Python case study that optimizes the CVaR for a portfolio of 2000 stocks, illustrating that such problems are practically feasible.

Lecture 12: Tail Risk Hedging and Analysis

November 20, 2025 at 1:49 PM

Anton Vorobets

@antonvorobets.com

You might have missed the last lecture of the Applied Quantitative Investment Management course.

This lecture is about tail risk hedging and analysis, a topic that many are concerned with in practice.

Make sure to check it out.

#quant #quantsky #finance #investing #risk #management #python #cvar

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

November 19, 2025 at 1:43 PM

Anton Vorobets

@antonvorobets.com

Avoid the data and investment technology bundle mistake.

I sometimes hear institutional investors say: “but I get so much data with this system”.

Read more about its fallacy here: substack.com/profile/1707...

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

Avoid the data and investment technology bundle mistake. I sometimes hear institutional investors say: “but I get so much data with this system”. The implicit point being that they know the investme...

Open-Source Investment Software Issues

November 17, 2025 at 12:57 PM

Anton Vorobets

@antonvorobets.com

Open-source software is fantastic for core technologies such as operating systems, version control, and programming languages. However, when it comes to more specialized applications, especially the ones that have a zero-sum game nature, proprietary solutions usually come out on top #quant #quantsky

This article presents the issues with open-source packages for investment analysis and risk management.

Subscribe for educational investment and risk management content by Fortitudo Technologies, an investment technology company offering novel investment software as well as quantitative and digitalizati...

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...