Tessera

The July edition of the Portfolio Construction newsletter contains some recommended summer readings. In the end, there is the popular posts recap. Make sure to check it out! :-) #quant #quantsky #finance #markets #python #investing #investment #reading #book

Summer Reading Recommendations

July 2026 edition of the Portfolio Construction newsletter, sharing some recommended readings for the summer.

open.substack.com

The problems and logical inconsistencies with having both a short-term and long-term investment simulation model: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #investment #simulation #markets

Anton Vorobets (@antonvorobets)

The problems and logical inconsistencies with having both a short-term and long-term investment simulation model. I sometimes come across people arguing that in the short-term, they know what is in t...

substack.com

Inverse inference with macroeconomic Bayesian networks. While Bayesian networks are commonly used to formalize causal hypotheses about the economy, they can also be used to answer questions in the opposite direction. #quant #quantsky #finance #markets #python #investing #bayesian #macro #economics

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.

open.substack.com

Quantocracy @quantocracy.bsky.social · 2mo ago

The essence of successful investment management. See this Substack Note: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #investment #risk #management

Anton Vorobets (@antonvorobets)

Successful investment management essentially comes down to: 1/ Inferring reality well. 2/ Building portfolios in a clever way based on the inferred reality. Point 1 is essentially about estimating ...

substack.com

Academic Confirmation Bias from @antonvorobets.com

Maintaining the status quo and searching for information that confirms its sufficiency are fairly well established human biases. Hence, producing research that satisfies these biases is an easy way to make it popular among many, although it does not contribute anything new scientifically and is often directly anti-scientific. I have seen many examples of this in finance and economics academia. In

antonvorobets.substack.com

Finance and economics academia produces mainly confirmation bias research. Read more about it in the article below. #quant #quantsky #finance #markets #python #investing #investment #academia

Academic Confirmation Bias

This article explains how finance and economics academia produces a genre of "confirmation bias research".

open.substack.com

A practical approach to investment simulation: substack.com/profile/1707... #quant #quantsky #finance #markets #python #portfolio #construction #risk #management

Anton Vorobets (@antonvorobets)

A practical approach to investment simulation. It is well understood that it is hard to simulate future market paths based on the raw, unprocessed historical data. Before inputting the data into mod...

substack.com

Busting the normal investment distribution myth. Some people argue that a phenomenon called “Aggregational Gaussianity” (AG) should exist in investment markets. However, when we formally test this hypothesis, we can quite easily reject it. #quant #quantsky #finance #markets #python #investing

Normal Distribution Myth Article

This post contains the latest version of the Normal Distribution Myth article by Anton Vorobets.

open.substack.com

Don’t fall for the “we don’t have enough observations for CVaR optimization” excuse. Mean-variance exposes you to unnecessary tail risks and leaves a lot of money on the table. It should not be used for investment management in practice. substack.com/@antonvorobe... #quant #quantsky #investing

Anton Vorobets (@antonvorobets)

Don’t fall for the “we don’t have enough observations for CVaR optimization” excuse. I keep seeing this claim from mean-variance proponents, but it requires just a bit of CVaR experience to reject. ...

substack.com

Multi-period hedging of liabilities with Conditional Maximum Loss (CML): substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #investment

Anton Vorobets (@antonvorobets)

Multi-period hedging of liabilities with Conditional Maximum Loss (CML). CML is a recently introduced investment risk measure, allowing us to minimize the worst expected maximum losses between rebala...

substack.com

Practical examples of Conditional Value-at-Risk (CVaR) risk budgeting and diversification. After studying the Python code, you should have a good understanding of how advanced portfolio construction is performed in practice. #quant #quantsky #finance #markets #python #investment #investing #cvar

CVaR Risk Budgeting

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

open.substack.com

An easy way to handle derivatives in portfolio optimization, risk decomposition and performance evaluation. For some reason, derivatives are still treated in unnecessary complex ways. However, once we separate exposure from price, it actually becomes quite easy. #quant #quantsky #finance #python

Derivatives Portfolio Management Article

This post contains the latest version of the Portfolio Management Framework for Derivative Instruments article by Anton Vorobets.

open.substack.com

Some perspectives on Entropy Pooling (EP) and Relevance-Based Prediction (RBP). substack.com/profile/1707... #quant #quantsky #finance #markets #python #entropy #investing #investment

Anton Vorobets (@antonvorobets)

Some perspectives on Entropy Pooling (EP) and Relevance-Based Prediction (RBP). I recently saw an article that compared RBP to ordinary least squares (OLS) regression, examining the claim that RBP is...

substack.com

A comparison of variance and Conditional Value-at-Risk (CVaR) portfolio optimization. This article summarizes the main differences and perspectives. Accompanying Python code and a video walkthrough are also available. #quant #quantsky #finance #markets #python #investing #cvar #variance #risk

Variance vs CVaR article

This post contains the latest version of the Variance for Intuition, CVaR for Optimization article by Anton Vorobets.

open.substack.com

If you think AI can write advanced analytics code, try to prompt it to write Python code for a linear programming solver. There might come a day when AI can logically reason, but that day is not today :-) substack.com/profile/1707... #quant #quantsky #finance #markets #python #AI #investing

Anton Vorobets (@antonvorobets)

If you think AI can write advanced analytics code, try to prompt it to write Python code for a linear programming solver. It is a very common problem with plenty of public examples and literature, so...

substack.com

“This large organization uses it” is probably the worst argument for using an investment tool. With today’s technology, it is possible to build portfolios designed to have good tail risk-adjusted returns using realistic investment distributions: substack.com/@antonvorobe... #quant #quantsky #cvar

Anton Vorobets (@antonvorobets)

“This large organization uses it” is probably the worst argument for using an investment tool. I sometimes hear it as a justification for old methods like CAPM, Black-Litterman and mean-variance. An...

substack.com

The May edition of the Portfolio Construction newsletter presents the nuances of tail risk mathematics. Finally, there is a popular posts recap. Make sure to check it out below. #quant #quantsky #finance #markets #investment #trading #risk #investing #python #cvar #cml

Tail Risk Mathematics

May 2026 edition of the Portfolio Construction newsletter, presenting the nuances of tail risk mathematics.

open.substack.com

No matter how much I try to take it seriously, I find most academic finance research tragicomical. Read more about it here: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #investment #tailrisk #academia

Anton Vorobets (@antonvorobets)

No matter how much I try to take it seriously, I find most academic finance research tragicomical. Assumptions are piled on top of each other with complete disregard for their blatant disagreement wi...

substack.com

How sensitive is portfolio optimization to minor changes in expected returns when we specify the problem properly? Find out what happens when we introduce real-world aspects such as tracking error constraints and transactions costs. #quant #quantsky #finance #markets #python #investing #risk

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.

open.substack.com

Understanding the foundations of resampled portfolio optimization. References to supporting material including Python code and a video walkthrough can be found below. #quant #quantsky #finance #markets #python #portfoliooptimization #portfolio #optimization #investment

Portfolio Optimization and Parameter Uncertainty Article

This post contains the latest version of the Portfolio Optimization and Parameter Uncertainty article by Laura Kristensen and Anton Vorobets.

open.substack.com

Updated version of the Causal and Predictive Market Views and Stress Testing article, allowing you to update fully general distributions. You will find a lot of support material including video walkthroughs of the article and code. Make sure to check it out! #quant #quantsky #finance #markets

Causal and Predictive Views and Stress Testing Article

This post contains the latest version of the Causal and Predictive Market Views and Stress Testing article by Anton Vorobets.

open.substack.com

Let’s call it Conditional Value-at-Risk (CVaR): substack.com/@antonvorobe... #quant #quantsky #finance #markets #python #investing #investment #data #cvar #s&p500 #risk

Anton Vorobets (@antonvorobets)

Let’s call it Conditional Value-at-Risk (CVaR). I am often surprised by how the same quantity has so many different names. For example: Conditional Value-at-Risk (CVaR), Expected Shortfall (ES), Aver...

substack.com

If you are looking for blazingly fast time series analysis in Python, look no further than RayforceDB. I have written a review of my experience using RayforceDB over the past four months. #quant #quantsky #finance #markets #python #investing #investment #timeseries #data #database #rayforcedb

Time Series Database Review: RayforceDB

This article reviews RayforceDB, a game changer for ultra fast time series analysis in Python.

open.substack.com

Don’t make the mistake of thinking that you should build everything yourself. I have made this mistake, and I continue to see it being made among investment managers. Read more about it here: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #cvar #cml

Anton Vorobets (@antonvorobets)

Don’t make the mistake of thinking that you should build everything yourself. I have made this mistake, and I continue to see it being made among investment managers. Most of us know how to use Pyth...

substack.com

Fortitudo Technologies @fortitudo-tech.bsky.social · 4mo ago

How to get the most out of your market views and stress tests for fully general Monte Carlo simulations. Find the latest version of the Sequential Entropy Pooling (SeqEP) article and a lot of support material below. #quant #quantsky #finance #markets #python #investing #entropypooling #views

Sequential Entropy Pooling Article

This post contains the latest version of the Sequential Entropy Pooling Heuristics article by Anton Vorobets.

open.substack.com

How to analyse the dynamic aspects of tail risks: www.linkedin.com/posts/fortit... #quant #quantsky #finance #markets #python #investing #investment #CML #CVaR

Conditional Maximum Loss (CML) Portfolio Optimization | Fortitudo Technologies

How to analyse the dynamic aspects of tail risks. Although most investors understand that we do not live in a one-period world, portfolio optimization and risk analysis is usually one period in natur...

linkedin.com

Some of the best feedback you can get regarding investment methods is that they are obvious. This might sound surprising, but it usually implies that the solution is impactful and elegant: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investing #CML #CVaR #substack

Anton Vorobets (@antonvorobets)

substack.com