Anton Vorobets, Next Generation Investment Framework

This video gives a cohesive walkthrough of the next generation investment framework that utilizes fully general investment distributions, Sequential Entropy Pooling, and mean-CVaR.

After watching, you will have the right perspective to carefully study the Portfolio Construction and Risk Management book¹, which thoroughly presents the investment framework and its methods.

You can find the accompanying Python code on GitHub².

This video is also available on YouTube if you prefer watching it there:

1. Portfolio Construction and Risk Management Book: https://antonvorobets.substack.com/p/pcrm-book

2. Portfolio Construction and Risk Management Book’s Python code: https://github.com/fortitudo-tech/pcrm-book