Happy Quantametal Year

January 2026 edition of the Portfolio Construction newsletter, summarizing 2025 and revealing plans for 2026.

ChatGPT illustration of “Happy Quantamental Year”.

2025 has probably been my most productive year, releasing the Portfolio Construction and Risk Management book and teaching the Applied Quantitative Investment Management course.

Following our tradition, Laura Kristensen and I also published the Time- and State-Dependent Resampling, and we recently showed that high-dimensional CVaR optimization is practically feasible.

2026 is set out to be an even more productive year. Soon, Laura and I will publish an article that we believe is an absolute game changer for path-dependent tail risk optimization. You don’t want to miss this one, so make sure to subscribe to stay up to date.

Portfolio Construction and Risk Management book

2026 will hopefully also be the year where I finalize the Portfolio Construction and Risk Management book. Please continue to share your constructive feedback, so I can further improve the it before eventually sending it to print.

I will soon add a mathematical appendix to the book for the readers who feel that their current mathematical understanding is not at an sufficient level to understand the next-generation investment framework and its methods, see this Note for a sneak peak:

Expanding collection of exclusive case studies

Thank you for the feedback on the expanding collection of exclusive case studies. Going forward, I will release at least one paid case study that uses the next-generation investment framework every month.

In order to get the most out of these, it is recommended that you carefully study the Portfolio Construction and Risk Management book and complete the Applied Quantitative Investment Management course.

As a paid subscriber, you are also encouraged to ask questions or come with suggestions for case studies that you want to see.

Posts recap

Below is a popular posts recap since last newsletter.

Sequential Entropy Pooling installation misconceptions:

https://www.linkedin.com/posts/antonvorobets_sequential-entropy-pooling-installation-activity-7401980714143002626-9W1-/

What you can expect from good portfolio construction:

https://www.linkedin.com/posts/antonvorobets_what-you-can-realistically-expect-from-good-activity-7402341719674900481-Zyjx/

Thank you for reading Quantamental Investing:

https://www.linkedin.com/feed/update/urn:li:activity:7403429623188869120

Hilarious mean-variance excuses:

https://www.linkedin.com/posts/antonvorobets_variance-for-intuition-cvar-for-optimization-activity-7404154764046884864-hO30/

Video walkthrough of high-dimensional CVaR optimization:

https://www.linkedin.com/posts/antonvorobets_13-high-dimensional-cvar-portfolio-optimization-activity-7404879738105917440-PZDr/

Discrepancy between how derivatives are managed in practice and this article:

https://www.linkedin.com/posts/antonvorobets_portfolio-management-framework-for-derivative-activity-7406691105276317696-8m4D/

Fully Flexible Resampling Python code:

https://www.linkedin.com/feed/update/urn:li:activity:7407416316409839617

Investment technology effort reality:

https://www.linkedin.com/posts/antonvorobets_for-investment-technology-you-can-do-95-activity-7407778405032669184-rH9J

Mean-variance critique wave:

https://www.linkedin.com/feed/update/urn:li:activity:7408904817940746240

Tail risk optimal gold allocation:

https://www.linkedin.com/posts/antonvorobets_optimal-gold-allocation-activity-7411765475493257217-gw44/

Portfolio construction and risk management summary for 2025:

https://www.linkedin.com/feed/update/urn:li:activity:7412128297439932416

Majority vs winning team:

https://www.linkedin.com/posts/antonvorobets_doing-what-most-others-do-and-playing-on-activity-7412859708824395776-Pn4H

Framework for causal analysis of geopolitical and macroeconomic shocks:

https://www.linkedin.com/posts/antonvorobets_causal-and-predictive-market-views-and-stress-activity-7413559108877918208-EMOB

Request for feedback on the mathematical appendix:

https://www.linkedin.com/posts/antonvorobets_investment-mathematics-appendix-activity-7413938740504612864-Vc7m/