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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

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

Lecture 12: Tail Risk Hedging and Analysis

This lecture goes through Chapters 7 and 8 from the Portfolio Construction and Risk Management book, presenting tail risk hedging and analysis.

Sep 25, 2025 • Anton Vorobets

51:55

Lecture 11: Derivatives Portfolio Optimization and Rebalancing

Watch Now | This lecture finalizes Chapter 6 from the Portfolio Construction and Risk Management book, presenting derivatives portfolio optimization and…

Sep 18, 2025 • Anton Vorobets

48:54

Lecture 10: Resampled Portfolio Optimization

Watch now | This lecture goes through Section 6.4 from the Portfolio Construction and Risk Management book, presenting Resampled Portfolio Stacking.

Sep 11, 2025 • Anton Vorobets

59:47

Lecture 9: Portfolio Optimization

This lecture goes through Sections 6.1-6.3 from the Portfolio Construction and Risk Management book, introducing portfolio optimization.

Sep 4, 2025 • Anton Vorobets

52:17

Lecture 8: Causal Views and Stress Testing

This lecture goes through Sections 5.3 and 5.4 from the Portfolio Construction and Risk Management book, presenting causal views and stress testing.

Aug 28, 2025 • Anton Vorobets

53:10

Lecture 7: Sequential Entropy Pooling

This lecture goes through Section 5.2 from Portfolio Construction and Risk Management book, presenting Sequential Entropy Pooling (SeqEP).

Aug 21, 2025 • Anton Vorobets

55:00

Lecture 6: Entropy Pooling

This lecture goes through Section 5.1 from Portfolio Construction and Risk Management book, introducing Entropy Pooling.

Aug 7, 2025

54:53

Lecture 5: Instrument Pricing

This lecture goes through Chapter 4 about instrument pricing from the Portfolio Construction and Risk Management book.

Jul 31, 2025 • Anton Vorobets

1:09:06

Lecture 4: Resampling and Generative Machine Learning

This lecture goes through the investment simulation methods from the Portfolio Construction and Risk Management book.

Jul 24, 2025 • Anton Vorobets

1:24:48

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