Case Studies

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

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

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 Portfolio Optimization

This article summarizes the new Conditional Maximum Loss (CML) investment risk measure and presents an exclusive risk budgeting Python case study.

Jan 30 • Anton Vorobets

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

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

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

Multi-Asset Simulation

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

May 28, 2025 • Anton Vorobets

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, 2025 • Anton Vorobets

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