Anton Vorobets

Fortitudo Technologies

Østre Stationsvej 39B, 8. th.

Odense C, 5000

Denmark

http://fortitudo.tech

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 20,077

SSRN RANKINGS

Top 20,077

in Total Papers Downloads

4,703

SSRN CITATIONS
Rank 49,969

SSRN RANKINGS

Top 49,969

in Total Papers Citations

16

CROSSREF CITATIONS

0

Ideas:
“  I work on generative modeling of investments markets as well as investment analysis methods that operate on Monte Carlo simulations with associated joint probability vectors. For the accompanying code to my articles, see https://github.com/fortitudo-tech/fortitudo.tech  ”

Scholarly Papers (5)

1.

Portfolio Optimization and Parameter Uncertainty

Number of pages: 15 Posted: 12 Feb 2024 Last Revised: 13 Mar 2024
Laura Kristensen and Anton Vorobets
Fortitudo Technologies and Fortitudo Technologies
Downloads 1,853 (17,013)

Abstract:

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Portfolio optimization, parameter uncertainty, Exposure Stacking, mean-CVaR, tail risk, mean-variance, efficient portfolio, efficient frontier, mean squared error, bias-variance trade-off, stacked generalization, quadratic programming, convex optimization, Python Programming Language.

2.

Variance for Intuition, CVaR for Optimization

Number of pages: 9 Posted: 01 Mar 2022 Last Revised: 06 Feb 2024
Anton Vorobets
Fortitudo Technologies
Downloads 792 (58,492)
Citation 4

Abstract:

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Portfolio optimization, mean-variance, mean-CVaR, tail risks, convex optimization, risk budgeting, Monte Carlo simulation, synthetic market data generator, Python Programming Language.

3.

Portfolio Management Framework for Derivative Instruments

Number of pages: 9 Posted: 25 Sep 2022 Last Revised: 26 Dec 2023
Anton Vorobets
Fortitudo Technologies
Downloads 760 (61,849)
Citation 4

Abstract:

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Portfolio management, derivative instruments, leverage, portfolio optimization, performance evaluation, CVaR, tail risks, market views, stress-testing, Entropy Pooling, Kullback-Leibler divergence.

4.

Sequential Entropy Pooling Heuristics

Number of pages: 9 Posted: 05 Oct 2021 Last Revised: 13 Jan 2024
Anton Vorobets
Fortitudo Technologies
Downloads 711 (67,448)
Citation 1

Abstract:

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Entropy Pooling, relative entropy, Kullback-Leibler divergence, change of measure, market views, stress-tests, Monte Carlo simulation, nonlinear convex optimization, heuristic algorithms, Python Programming Language.

5.

Causal and Predictive Market Views and Stress-Testing

Number of pages: 11 Posted: 13 May 2023 Last Revised: 29 Jun 2023
Anton Vorobets
Fortitudo Technologies
Downloads 587 (85,974)
Citation 4

Abstract:

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Bayesian networks, minimum relative entropy, Entropy Pooling, market views, stress-testing, causality, predictiveness, Monte Carlo simulation, synthetic market generator.