Articles

The Normal Distribution Myth

A summary of the SSRN article "The Normal Distribution Myth", which rejects the hypothesis that return distributions are normal.

Jun 5 •

Multi-Asset Simulation

This article presents the nuances of multi-asset simulation, including a Python case study using the Investment Simulation module.

May 28 •

Multi-Asset Macro Model

This article explains how the real rate, inflation, and growth factors can be defined in a multi-asset macro model, including a practical Python case…

May 15 •

Anton Vorobets, Next Generation Investment Framework

A replay of Quant Insider webinar from March 23, 2025, that carefully presents the next generation investment framework.

Apr 10 •

54:39

Resampled Portfolio Stacking

A high-level presentation of Resampled Portfolio Stacking for portfolio optimization with fully general parameter uncertainty.

Apr 8 •

Causal Stress-Testing

This post gives a high-level presentation of the Causal and Predictive Market Views and Stress-Testing SSRN article.

Mar 26 •

Derivatives Portfolio Management Framework

This post gives a high-level presentation of the Portfolio Management Framework for Derivative Instruments SSRN article.

Mar 19 •

Variance for Intuition, CVaR for Optimization

This post gives a high-level presentation of the Variance for Intuition, CVaR for Optimization SSRN article.

Mar 12 •

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 •

Portfolio Construction and Risk Management Book

This post contains the latest version of the Portfolio Construction and Risk Management book by Anton Vorobets.

Jan 18 •

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