Articles

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

Time Series Database Review: RayforceDB

This article reviews RayforceDB, a game changer for ultra fast time series analysis in Python.

Apr 16 • Anton Vorobets

Sequential Entropy Pooling Article

This post contains the latest version of the Sequential Entropy Pooling Heuristics article by Anton Vorobets.

Apr 9 • Anton Vorobets

Geopolitical Investment Risk Analysis

This article presents how the Causal and Predictive Market Views and Stress Testing framework can be used to analyze geopolitical risks.

Mar 26 • Anton Vorobets

Stop Using SSRN

This article explains why I will stop updating my SSRN author page and where you can find my scientific work in the future.

Mar 19 • Anton Vorobets

Conditional Maximum Loss Limits

This article examines how large Conditional Maximum Loss (CML) problems we can solve on normal-sized servers.

Feb 27 • Anton Vorobets

Conditional Maximum Loss Article

This post contains the latest version of the Conditional Maximum Loss Portfolio Optimization article by Kristensen and Vorobets (2026).

Feb 19 • Anton Vorobets

Resampling Benefits for Investment Simulation

This article summarizes the benefits of resampling methods for high-dimensional investment market simulation.

Feb 12 • Anton Vorobets

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