The Book is Out

This Quantamental Investing newsletter contains a lot of valuable content. Make sure that you don't miss it.

Portfolio Construction and Risk Management crowdfunding screenshot.

The PDF version of the Portfolio Construction and Risk Management book is now publicly available. You can find links to the book and its accompanying Python code at the bottom of this newsletter.

It contains many new perspectives and results that are exclusive to the book, showing you that there are much better alternatives to Black-Litterman and mean-variance.

I will continue editing the book in public over the coming months before sending it to print. So please feel free to share your feedback if something is unclear, or you find a typo.

Until end of day this Sunday Los Angeles time (11:59 PM (GMT-8) February 2, 2025), you have a unique opportunity to get a three month trial of an institutional-grade implementation of the investment framework from the book in the cloud.

You will get this trial if you end up among the top 10 contributors to the book's crowdfunding. Read more about it here: https://antonvorobets.substack.com/p/important-deadline-approaching

Posts recap

Below is a recap of the most important posts since the last newsletter.

Portfolio Construction and Risk Management book announcement:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7286376069702578176-EO5w/

The main issues with mean-variance:

https://www.linkedin.com/posts/antonvorobets_investing-markets-riskmanagement-activity-7283101705985011712-b2R-/

Derivatives Portfolio Optimization and Parameter Uncertainty video:

https://www.linkedin.com/posts/antonvorobets_10-derivatives-portfolio-optimization-and-activity-7283839360712499200-I9zR/

Improvements to the Quantamental Investing publication:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7288539621003612160-_ZhD/

How many observations we need for CVaR optimization:

https://www.linkedin.com/posts/antonvorobets_investing-markets-riskmanagement-activity-7289624843803619328-ZDW6/

Time- and State-Dependent Resampling article:

https://www.linkedin.com/posts/antonvorobets_time-and-state-dependent-resampling-article-activity-7290711858297106433-1ELC/

Portfolio Construction and Risk Management links

The book is available at: https://antonvorobets.substack.com/p/pcrm-book¹

The Python code is available at: https://github.com/fortitudo-tech/pcrm-book²

If you like the book, I encourage you to show your appreciation by sharing it with your network.

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

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