Anton Vorobets
antonvorobets.com
Substack: https://antonvorobets.substack.com LinkedIn: https://linkedin.com/in/antonvorobets SSRN: https://ssrn.com/author=2738420 GitHub: https://github.com/fortitudo-tech/fortitudo.tech YouTube: https://youtube.com/@fortitudo-tech
👤 Joined on 06 January 2024
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Check out this Python case study for market views and stress tests on multiple horizons: github.com/fortitudo-te... #quant #quantsky #finance #markets #python #investing #investment #entropypooling
Show PostMarket views and stress tests on multiple horizons for fully general Monte Carlo path simulations. Find the article and its accompanying Python code below. #quant #quantsky #finance #markets #python #investing #investment #tailrisk #entropypooling #cvar #cml
Show PostThe October edition of the Portfolio Construction newsletter presents Total Portfolio Approach (TPA) tail risk optimization with Conditional Maximum Loss (CML). Make sure to check it out and stay tuned for some new exciting results next week. #quant #quantsky #finance #markets #python #investing
Show PostHow much extra performance can we expect from path-dependent tail risk optimization of a US equity sector strategy? Find out in the Python case study below. #quant #quantsky #finance #markets #python #investing #investment #talrisk #cvar #cml
Show PostIt’s not proper tail risk optimization unless it can handle the nuances of fully general Monte Carlo distributions. Luckily, you have access to tail risk optimization technologies that work for fully general Monte Carlo simulations: lnkd.in/p/ebE3hgaB #quant #quantsky #finance #markets #python
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