Happy Quant Year

This is a replication of my Portfolio Construction newsletter on LinkedIn, which gives you a LinkedIn posts recap for December 2024.

Graphs from the Portfolio Construction and Risk Management book, including Fully Flexible Resampling probability vectors and options P&L simulation.

In the first newsletter of 2025, I wish you all a happy New Year.

I hope many of you have made the New Year's resolution to finally abandon the fundamentally flawed mean-variance approach in favor of the next generation investment framework.

In that case, the Portfolio Construction and Risk Management book¹ is an excellent place to start.

2025 is guaranteed to bring a lot of new content from my side, particularly in the Quantamental Investing Substack publication that I recommend you subscribe to.

If you want to start your year with some light and entertaining content that nonetheless underlines the importance of getting the fundamental assumptions correct, I suggest you watch the video below:

LinkedIn posts recap

Below is a recap of the most important posts since the last newsletter (ordered from oldest to newest).

What I actually think about mean-variance and CAPM:

https://www.linkedin.com/posts/antonvorobets_finance-markets-riskmanagement-activity-7269694151099568129-tI7Q

Naive CVaR and variance optimization backtesting:

https://www.linkedin.com/posts/antonvorobets_naive-cvar-and-variance-backtesting-activity-7270417787053883393-zw1e

An elegant framework for handling derivatives:

https://www.linkedin.com/posts/antonvorobets_5-derivatives-portfolio-management-framework-activity-7271157364861386753-g4wU

Wrong by construction vs probably approximately correct:

https://www.linkedin.com/posts/antonvorobets_finance-markets-riskmanagement-activity-7272229660766195712-WrJs

Portfolio Construction and Risk Management update:

https://www.linkedin.com/posts/antonvorobets_finance-markets-python-activity-7272952645969985538-E59f

How I recommend posting in the Applied Quantitative Investment Management group:

https://www.linkedin.com/feed/update/urn:li:activity:7273681485902065664

The finance and economics problem:

https://www.linkedin.com/posts/antonvorobets_the-finance-and-economics-problem-activity-7274765747535400960-lu5z

Portfolio Construction and Risk Management holiday suggestion:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7275505929805004801-DWHD

Risk factor views:

https://www.linkedin.com/posts/antonvorobets_7-risk-factor-views-activity-7276230759181406208-sG2W

Generative machine learning methods for market simulation:

https://www.linkedin.com/posts/antonvorobets_finance-markets-riskmanagement-activity-7276940813358579712-K5dp

Causal and Predictive Market Views and Stress-Testing video:

https://www.linkedin.com/feed/update/urn:li:activity:7278769156412329984

My New Year's resolution:

https://www.linkedin.com/posts/antonvorobets_finance-markets-riskmanagement-activity-7279583430772690944-F9CN

Portfolio Optimization and Parameter Uncertainty video:

https://www.linkedin.com/posts/antonvorobets_9-portfolio-optimization-and-parameter-uncertainty-activity-7281304889849237504-C2m-

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