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Inverse Bayesian Inference

This Python case study illustrates how we can use Bayesian networks in an inverse way to, for example, determine the macro conditions for rate hikes.

Jun 25 • Anton Vorobets

CVaR Risk Budgeting

This article contains several Python examples of how CVaR risk budgeting is performed and analyzed through Sequential Entropy Pooling (SeqEP) stress…

May 28 • 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

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

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

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

Sep 18, 2025 • Anton Vorobets

48:54

Lecture 10: Resampled Portfolio Optimization

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

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