Entropy Pooling Fundamentals
August 2026 edition of the Portfolio Construction newsletter, clarifying some Sequential Entropy Pooling (SeqEP) misconceptions.
Quantamental Investing
Applied quantamental investment management using the Fully General Investment Framework (FGIF) from the Portfolio Construction and Risk Management book.
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False Entropy Pooling Claims
This article summarizes and rejects some of the false claims recently made about Entropy Pooling, specifically CVaR views.
Derivatives Portfolio Optimization Parameter Uncertainty Article
This post contains the latest version of the Derivatives Portfolio Optimization and Parameter Uncertainty article by Anton Vorobets.
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).
Summer Reading Recommendations
July 2026 edition of the Portfolio Construction newsletter, sharing some recommended readings for the summer.
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.
Academic Confirmation Bias
This article explains how finance and economics academia produces a genre of "confirmation bias research".
Normal Distribution Myth Article
This post contains the latest version of the Normal Distribution Myth article by Anton Vorobets.
Fully General Investment Framework (FGIF)
June 2026 edition of the Portfolio Construction newsletter, summarizing the Fully General Investment Framework (FGIF).
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.
Derivatives Portfolio Management Article
This post contains the latest version of the Portfolio Management Framework for Derivative Instruments article by Anton Vorobets.
Variance vs CVaR article
This post contains the latest version of the Variance for Intuition, CVaR for Optimization article by Anton Vorobets.
Tail Risk Mathematics
May 2026 edition of the Portfolio Construction newsletter, presenting the nuances of tail risk mathematics.
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.
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.
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.
Time Series Database Review: RayforceDB
This article reviews RayforceDB, a game changer for ultra fast time series analysis in Python.
Sequential Entropy Pooling Article
This post contains the latest version of the Sequential Entropy Pooling Heuristics article by Anton Vorobets.
Portfolio Construction Easter
April 2026 edition of the Portfolio Construction newsletter, summarizing latest and future updates.
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.