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Portfolio Construction and Risk Management Book
This post contains the latest version of the Portfolio Construction and Risk Management book by Anton Vorobets.
Jan 18, 2025
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Anton Vorobets
85
4
38
Investment Data Imputation with Variational Autoencoders
This article illustrates how we can perform missing investment data imputation using variational autoencoders (VAEs).
Aug 20
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Anton Vorobets
7
1
Entropy Pooling Fundamentals
August 2026 edition of the Portfolio Construction newsletter, clarifying some Sequential Entropy Pooling (SeqEP) misconceptions.
Aug 11
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Anton Vorobets
8
1
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Lecture 1: Intro and Python setup
Jul 3, 2025
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Anton Vorobets
32
3
Geopolitical Investment Risk Analysis
Mar 26
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Anton Vorobets
20
4
Multi-Asset Macro Model
May 15, 2025
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Anton Vorobets
13
3
Portfolio Optimization Expected Return Sensitivity
Apr 30
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Anton Vorobets
14
1
Lecture 2: Stylized Market Facts
Jul 10, 2025
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Anton Vorobets
12
2
Lecture 6: Entropy Pooling
Aug 7, 2025
11
2
Course
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51:55
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.
Sep 25, 2025
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Anton Vorobets
7
2
48:54
Lecture 11: Derivatives Portfolio Optimization and Rebalancing
This lecture finalizes Chapter 6 from the Portfolio Construction and Risk Management book, presenting derivatives portfolio optimization and intelligent…
Sep 18, 2025
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Anton Vorobets
10
2
59:47
Lecture 10: Resampled Portfolio Optimization
This lecture goes through Section 6.4 from the Portfolio Construction and Risk Management book, presenting Resampled Portfolio Stacking.
Sep 11, 2025
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Anton Vorobets
4
2
Case Studies
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Investment Data Imputation with Variational Autoencoders
This article illustrates how we can perform missing investment data imputation using variational autoencoders (VAEs).
Aug 20
•
Anton Vorobets
7
1
Inverse Bayesian Inference
This Python case study illustrates how we can use Bayesian networks in an inverse way to, for example, determine the macro conditions for rate hikes.
Jun 25
•
Anton Vorobets
7
1
CVaR Risk Budgeting
This article contains several Python examples of how CVaR risk budgeting is performed and analyzed through Sequential Entropy Pooling (SeqEP) stress…
May 28
•
Anton Vorobets
8
3
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Quantamental Investing
Applied quantamental investment management using the Fully General Investment Framework (FGIF) from the Portfolio Construction and Risk Management book.
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