Articles

Sequential Entropy Pooling

A high-level presentation of Sequential Entropy Pooling (SeqEP), which is a powerful method for views and stress-testing of fully general return…

Feb 26 •

Time- and State-Dependent Resampling

This post presents a high-level summary of the Time- and State-Dependent Resampling article, including the Fully Flexible Resampling method.

Feb 19 •

Better Backtesting

This post introduces a backtesting approach that leverages synthetic market data to overcome the primary limitation of historical backtesting.

Feb 6 •

The Finance and Economics Problem

This article discusses the common problem found in many academic finance and economics theories.

Dec 17, 2024 •

Naive Backtesting

This article presents a traditional expanding window backtest of CVaR and variance optimization.

Dec 5, 2024 •

Tactical Asset Allocation Performance Lower Bound

This article presents an asset allocation case study that assesses the common question of whether to have a tactical asset allocation (TAA) process or…

Nov 20, 2024 •

Entropy Pooling Collection

This article collects public resources related to the Entropy Pooling market views and stress-testing method.

Sep 17, 2024 •

Intelligent Portfolio Rebalancing

Introducing a statistical portfolio rebalancing test based on resampled portfolio optimization.

Aug 14, 2024 •

Portfolio Optimization and Parameter Uncertainty

Introducing portfolio optimization with fully general parameter uncertainty using the Resampled Portfolio Stacking approach.

Jul 25, 2024 •

Entropy Pooling vs Black-Litterman

This article compares Entropy Pooling (EP) to the Black-Litterman (BL) model.

Apr 11, 2024 •

Entropy Pooling and CVaR Portfolio Optimization in Python

Explore an elegant combination of Entropy Pooling and CVaR portfolio optimization in Python using the fortitudo.tech package.

Sep 12, 2023 •

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