Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python. - fortitudo-tech/fortitudo.tech

This post contains the latest version of the Multi-Period Entropy Pooling article by Laura Kristensen and Anton Vorobets (2026).

The October 2026 edition of the Portfolio Construction newsletter presents perspectives on multi-period risk and analysis.

This article presents a Python case studying comparing the performance of Conditional Maximum Loss (CML) and variance-optimized portfolios.

It’s not proper tail risk optimization unless it can handle the nuances of fully general Monte Carlo distributions. The natural transition to tail risks is happening even in finance academia. Howeve...

This article explains where you can find the latest scientific investment research that Anton Vorobets is involved in.

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 ...

This article sheds some light on when we should expect big differences between CVaR and CML portfolio optimization.

September 2026 edition of the Portfolio Construction newsletter, shedding light on future technologies and case studies.

I have now been an entrepreneur for as long as I have been a corporate employee. Here’s my main advice. I was initially thinking about writing an article about the learnings and differences, but I do...

This article illustrates how we can perform missing investment data imputation using variational autoencoders (VAEs).

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...

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...

August 2026 edition of the Portfolio Construction newsletter, clarifying some Sequential Entropy Pooling (SeqEP) misconceptions.

This article summarizes and rejects some of the false claims recently made about Entropy Pooling, specifically CVaR views.

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

This post contains the latest version of the Time- and State-Dependent Resampling article by Laura Kristensen and Anton Vorobets (2025).

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

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...

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.

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 ...

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

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

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...

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

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. ...

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...

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

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

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...

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

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...

“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...

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

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...

This article includes a Python CVaR optimization case study to assess Resampled Portfolio Stacking's sensitivity to expected return estimates.

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

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

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...

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

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...

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

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...

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. Today, we...

April 2026 edition of the Portfolio Construction newsletter, summarizing latest and future updates.

Perspectives on full and fractional differencing of investment time series. It is well known that asset prices are nonstationary, while most statistical models require the data to be (at least locall...

This article presents how the Causal and Predictive Market Views and Stress Testing framework can be used to analyze geopolitical risks.

Watch the Conditional Maximum Loss (CML) presentation from CQF Institute’s Portfolio Management conference. You can now find the replay on CQF Institute’s website under Resources > Videos > Portfolio...

Celebrating 5000 subscribers for the Quantamental Investing publication. I really enjoy Substack because it allows me to share deep content in various formats and engage with subscribers in a more me...

This article explains why I will stop updating my SSRN author page and where you can find my scientific work in the future.