Archive - Quantamental Investing

False Entropy Pooling Claims

This article summarizes and rejects some of the false claims recently made about Entropy Pooling, specifically CVaR views.

Jul 23 • Anton Vorobets

Derivatives Portfolio Optimization Parameter Uncertainty Article

This post contains the latest version of the Derivatives Portfolio Optimization and Parameter Uncertainty article by Anton Vorobets.

Jul 16 • Anton Vorobets

Time- and State-Dependent Resampling Article

This post contains the latest version of the Time- and State-Dependent Resampling article by Laura Kristensen and Anton Vorobets (2025).

Jul 9 • Anton Vorobets

Summer Reading Recommendations

July 2026 edition of the Portfolio Construction newsletter, sharing some recommended readings for the summer.

Jul 2 • Anton Vorobets

June 2026

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

Academic Confirmation Bias

This article explains how finance and economics academia produces a genre of "confirmation bias research".

Jun 18 • Anton Vorobets

Normal Distribution Myth Article

This post contains the latest version of the Normal Distribution Myth article by Anton Vorobets.

Jun 11 • Anton Vorobets

Fully General Investment Framework (FGIF)

June 2026 edition of the Portfolio Construction newsletter, summarizing the Fully General Investment Framework (FGIF).

Jun 4 • Anton Vorobets

May 2026

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

Derivatives Portfolio Management Article

This post contains the latest version of the Portfolio Management Framework for Derivative Instruments article by Anton Vorobets.

May 22 • Anton Vorobets

Variance vs CVaR article

This post contains the latest version of the Variance for Intuition, CVaR for Optimization article by Anton Vorobets.

May 14 • Anton Vorobets

Tail Risk Mathematics

May 2026 edition of the Portfolio Construction newsletter, presenting the nuances of tail risk mathematics.

May 7 • Anton Vorobets

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