Fortitudo Technologies
@fortitudo-tech.bsky.social
Fortitudo Technologies official. Homepage: https://fortitudo.tech LinkedIn: https://linkedin.com/company/fortitudo-tech GitHub: https://github.com/fortitudo-tech YouTube: https://youtube.com/@fortitudo-tech Substack: https://antonvorobets.substack.com
Why new asset managers are unlikely to survive if they don’t have a significantly different investment and technology approach. substack.com/@antonvorobe... #quant #quantsky #finance #markets #python #investing #investment #risk #technology
Anton Vorobets (@antonvorobets)
New asset managers are unlikely to survive if they don’t have a significantly different investment and technology approach. This might sound trivial, but I see it happening often: new asset managers ...
substack.com
Conditional Maximum Loss (CML) is a multi-period generalization of Conditional Value-at-Risk (CVaR). CML accounts for the path-dependent tail risk between rebalancing times. Find a Python case study of how it compares to CVaR in the Substack article below. #quant #quantsky #finance #python #cml
CVaR vs CML Portfolio Optimization
This article sheds some light on when we should expect big differences between CVaR and CML portfolio optimization.
antonvorobets.substack.com
The September edition of the Portfolio Construction newsletter sheds some light on future technologies and case studies. In the end, there is a short popular posts recap since the last newsletter. Welcome back from summer holidays :-) #quant #quantsky #finance #markets #python #investing #risk
Future Technologies and Case Studies
September 2026 edition of the Portfolio Construction newsletter, shedding light on future technologies and case studies.
antonvorobets.substack.com
Missing data imputation is an important problem in investment management. Check out the Python case studies and read more about it in the article below. #quant #quantsky #finance #markets #python #investment #data #imputation
Investment Data Imputation with Variational Autoencoders
This article illustrates how we can perform missing investment data imputation using variational autoencoders (VAEs).
antonvorobets.substack.com
When should we consider a mathematical investment problem to be solved? I usually do not spend time on talking about methods that are not feasible for practically relevant cases. Read more about it here: substack.com/profile/1707... #quant #quantsky #finance #markets #python #tailrisk #cml
Anton Vorobets (@antonvorobets)
When should we consider a mathematical investment problem to be solved? I usually do not spend time on talking about methods that are not feasible for practically relevant cases. If a solution is to...
substack.com
The purest way of assessing the quality of an investment tool is to ask yourself: “would I use it to manage my own money?” Read more about it in this Substack Note: substack.com/profile/1707... #quant #quantsky #finance #markets #python #investment #investing #data #tailrisk #technology
Anton Vorobets (@antonvorobets)
The purest way of assessing the quality of an investment tool is to ask yourself: “would I use it to manage my own money?” After this obvious, almost trivial, realization, ask yourself if you would m...
substack.com
Clarification of Entropy Pooling fundamentals in the August edition of the Portfolio Construction newsletter. At the end, there is the popular posts recap. Make sure to check it out! #quant #quantsky #finance #markets #python #investing #investment #data #entropypooling
Entropy Pooling Fundamentals
August 2026 edition of the Portfolio Construction newsletter, clarifying some Sequential Entropy Pooling (SeqEP) misconceptions.
antonvorobets.substack.com
This article clarifies some wrong claims recently made about Entropy Pooling and CVaR views. A practical Python example debunks these claims. Make sure to check it out! #quant #quantsky #finance #markets #python #investing #investment #entropypooling #cvar #views
False Entropy Pooling Claims
This article summarizes and rejects some of the false claims recently made about Entropy Pooling, specifically CVaR views.
antonvorobets.substack.com
Portfolio optimization with consistent parameter uncertainty for derivative portfolios. This article presents an elegant solution to underlying and risk factor parameter uncertainty for tail risk optimization of derivatives portfolios. #quant #quantsky #finance #markets #python #derivatives #vol
Derivatives Portfolio Optimization Parameter Uncertainty Article
This post contains the latest version of the Derivatives Portfolio Optimization and Parameter Uncertainty article by Anton Vorobets.
open.substack.com
Simulating high-dimensional markets with Time- and State-Dependent Resampling. This article introduces a new class of resampling methods that allow us to combine time-conditioning with state-conditioning for investment simulation. #quant #quantsky #finance #markets #python #investing #investment
Time- and State-Dependent Resampling Article
This post contains the latest version of the Time- and State-Dependent Resampling article by Laura Kristensen and Anton Vorobets (2025).
open.substack.com
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
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
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
