Articles

False Entropy Pooling Claims

This article summarizes and rejects some of the false claims recently made about Entropy Pooling, specifically CVaR views.

Jul 23 • Anton Vorobets

Derivatives Portfolio Optimization Parameter Uncertainty Article

This post contains the latest version of the Derivatives Portfolio Optimization and Parameter Uncertainty article by Anton Vorobets.

Jul 16 • Anton Vorobets

Time- and State-Dependent Resampling Article

This post contains the latest version of the Time- and State-Dependent Resampling article by Laura Kristensen and Anton Vorobets (2025).

Jul 9 • Anton Vorobets

Inverse Bayesian Inference

This Python case study illustrates how we can use Bayesian networks in an inverse way to, for example, determine the macro conditions for rate hikes.

Jun 25 • Anton Vorobets

Academic Confirmation Bias

This article explains how finance and economics academia produces a genre of "confirmation bias research".

Jun 18 • Anton Vorobets

Normal Distribution Myth Article

This post contains the latest version of the Normal Distribution Myth article by Anton Vorobets.

Jun 11 • Anton Vorobets

CVaR Risk Budgeting

This article contains several Python examples of how CVaR risk budgeting is performed and analyzed through Sequential Entropy Pooling (SeqEP) stress…

May 28 • Anton Vorobets

Derivatives Portfolio Management Article

This post contains the latest version of the Portfolio Management Framework for Derivative Instruments article by Anton Vorobets.

May 22 • Anton Vorobets

Variance vs CVaR article

This post contains the latest version of the Variance for Intuition, CVaR for Optimization article by Anton Vorobets.

May 14 • Anton Vorobets

Portfolio Optimization Expected Return Sensitivity

This article includes a Python CVaR optimization case study to assess Resampled Portfolio Stacking's sensitivity to expected return estimates.

Apr 30 • Anton Vorobets

Portfolio Optimization and Parameter Uncertainty Article

This post contains the latest version of the Portfolio Optimization and Parameter Uncertainty article by Laura Kristensen and Anton Vorobets.

Apr 28 • Anton Vorobets

Causal and Predictive Views and Stress Testing Article

This post contains the latest version of the Causal and Predictive Market Views and Stress Testing article by Anton Vorobets.

Apr 23 • Anton Vorobets

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