Articles

Major Book Update

This article describes some of the recent and forthcoming updates to the Portfolio Construction and Risk Management book.

Jan 22 • Anton Vorobets

Sequential Entropy Pooling @ University of Hohenheim

Guest lecture presenting the Sequential Entropy Pooling (SeqEP) method by Anton Vorobets at University of Hohenheim.

Jan 15 • Anton Vorobets

50:03

Optimal Gold Allocation

This article performs CVaR portfolio optimization to assess the size of the optimal gold allocation for portfolios with various risk targets.

Dec 30, 2025 • Anton Vorobets

Fully Flexible Resampling Python code

This article presents the Fully Flexible Resampling (FFR) functionality from the fortitudo.tech Python package.

Dec 18, 2025 • Anton Vorobets

Academic Anti-Science

December 2025 edition of the Portfolio Construction newsletter, explaining how anti-science manifests itself in academic finance and economics.

Dec 2, 2025 • Anton Vorobets

Gold in Multi-Asset Portfolios

This article analyzes the characteristics of gold in multi-asset portfolios, including an analysis of inflation and VIX shocks.

Nov 27, 2025 • Anton Vorobets

High-Dimensional CVaR Optimization

This article presents a Python case study that optimizes the CVaR for a portfolio of 2000 stocks, illustrating that such problems are practically…

Nov 20, 2025 • Anton Vorobets

Open-Source Investment Software Issues

This article presents the issues with open-source packages for investment analysis and risk management.

Nov 13, 2025 • Anton Vorobets

Anton Vorobets @ Quant Enthusiasts

This video post contains the Quant Enthusiasts interview with Anton Vorobets.

Oct 29, 2025 • Anton Vorobets

23:30

Resampling Persistent Time Series

This article explains how we can resample persistent time series that are expected to mean revert to long-term averages.

Oct 23, 2025 • Anton Vorobets

Quantamental Investing Updates

This article summarizes important updates for the Quantamental Investing Substack publication.

Oct 15, 2025 • Anton Vorobets

How Challenging is CVaR Optimization?

This article presents the challenges of solving fully general CVaR optimization problems in Python.

Oct 8, 2025 • Anton Vorobets

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