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

Market 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

The 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

How 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

It’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

Find my latest scientific quantitative investment research here.

#quant #quantsky #finance #markets #python #science #tailrisk #cvar #cml #montecarlo

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

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

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