Book and Code Update

May 2025 edition of the Portfolio Construction newsletter including a LinkedIn posts recap.

I recently updated the Portfolio Construction and Risk Management book based on reader feedback.

Thank you for sharing your perspectives. It truly makes the book better for all.

I have also made it easier to start working with the accompanying Python code by creating the pcrm-book package, which allows you to install all the dependencies with one command.

I will continue editing the book for some time and perhaps add an appendix presenting the core mathematic methods in greater detail. Please let me know what you think about such an appendix, and which parts you think will be particularly relevant.

Video walkthroughs

I have recently completed the video walkthroughs of the Investment Simulation and Investment Analysis modules.

I also added a video walkthrough of the Time- and State-Dependent Resampling article and code.

Watch the complete open-source fortitudo.tech Python package walkthrough playlist.

Exclusive case studies on Substack

With the video walkthroughs finalized, I will start adding exclusive case studies using the next generation investment framework, presented in the video below:

I encourage you to lock in your Quantamental Investing paid subscription now, because the price will increase as the number of case studies increases.

LinkedIn posts recap

Below is a recap of LinkedIn posts since last newsletter.

An important difference between how Black-Scholes and mean-variance are used in practice:

https://www.linkedin.com/posts/antonvorobets_an-important-difference-between-how-black-scholes-activity-7313527323574644737-jQGU/

A high-level introduction to causal and predictive stress-testing for fully general investment distributions:

https://www.linkedin.com/feed/update/urn:li:activity:7313892358033485824/

A high-level introduction to everything you need to know about resampled portfolio optimization:

https://www.linkedin.com/posts/antonvorobets_resampled-portfolio-stacking-activity-7315340005659361281-7G5s/

A highly effective introduction to the next generation investment framework:

https://www.linkedin.com/posts/antonvorobets_anton-vorobets-next-generation-investment-activity-7316063870337351680-B8Mt/

Portfolio Construction and Risk Management book's Python code update:

https://www.linkedin.com/feed/update/urn:li:activity:7317287963992776707/

How markets don't care about your assumptions:

https://www.linkedin.com/posts/antonvorobets_markets-dont-care-about-your-assumptions-activity-7318238908956258304-wCQr/

Video walkthrough of the Time- and State-Dependent Resampling article and Python code:

https://www.linkedin.com/posts/antonvorobets_11-time-and-state-dependent-resampling-activity-7319339845162565633-lkzL/

Complete Portfolio Construction and Risk Management PDF:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7320775215163080705-J7nT/

An article about portfolio optimization with fully general parameter uncertainty:

https://www.linkedin.com/posts/antonvorobets_portfolio-optimization-and-parameter-uncertainty-activity-7321500361918193667-Qyes/

Time series generative adversarial networks (GANs) video introduction:

https://www.linkedin.com/feed/update/urn:li:activity:7321879380899573760/

A common logical inconsistency in academic evaluation of generative machine learning methods:

https://www.linkedin.com/posts/antonvorobets_a-common-logical-inconsistency-in-academic-activity-7322949970012028930-ipy2/