Anton Vorobets

Fortitudo Technologies

Østre Stationsvej 39B, 8. th.

Odense C, 5000

Denmark

http://fortitudo.tech

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 12,067

SSRN RANKINGS

Top 12,067

in Total Papers Downloads

8,230

TOTAL CITATIONS
Rank 45,276

SSRN RANKINGS

Top 45,276

in Total Papers Citations

20

Ideas:
“  I work on generative modeling of investments markets as well as investment analysis methods that operate on fully general Monte Carlo simulations with associated joint probability vectors. For the accompanying code to my articles, see https://github.com/fortitudo-tech/fortitudo.tech For a deep and pedagogical presentation of the above investment framework, see the Portfolio Construction and Risk Management book: https://antonvorobets.substack.com/p/pcrm-book If you want to stay updated on my work, I recommend that you subscribe to my Substack: https://antonvorobets.substack.com  ”

Scholarly Papers (8)

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 2,465 (12,069)
Citation 2

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.

Sequential Entropy Pooling Heuristics

Number of pages: 9 Posted: 05 Oct 2021 Last Revised: 05 Oct 2024
Anton Vorobets
Fortitudo Technologies
Downloads 1,181 (37,398)
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

3.

Portfolio Management Framework for Derivative Instruments

Number of pages: 9 Posted: 25 Sep 2022 Last Revised: 02 May 2024
Anton Vorobets
Fortitudo Technologies
Downloads 1,175 (37,675)
Citation 5

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.

Variance for Intuition, CVaR for Optimization

Number of pages: 9 Posted: 01 Mar 2022 Last Revised: 19 Aug 2024
Anton Vorobets
Fortitudo Technologies
Downloads 1,072 (43,099)
Citation 6

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

5.

Causal and Predictive Market Views and Stress-Testing

Number of pages: 11 Posted: 13 May 2023 Last Revised: 17 Sep 2024
Anton Vorobets
Fortitudo Technologies
Downloads 959 (50,423)
Citation 5

Abstract:

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

6.

Portfolio Construction and Risk Management

Number of pages: 13 Posted: 29 Apr 2024 Last Revised: 03 Feb 2025
Anton Vorobets
Fortitudo Technologies
Downloads 951 (50,973)
Citation 1

Abstract:

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Portfolio construction, risk management, Monte Carlo simulation, Entropy Pooling, conditional Value-at-Risk, CVaR, portfolio optimization, market views, stress-testing, Python Programming Language.

7.

Derivatives Portfolio Optimization and Parameter Uncertainty

Number of pages: 6 Posted: 14 May 2024 Last Revised: 07 Nov 2024
Anton Vorobets
Fortitudo Technologies
Downloads 388 (157,920)

Abstract:

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

8.

Time- and State-Dependent Resampling

Number of pages: 28
Laura Kristensen and Anton Vorobets
Fortitudo Technologies and Fortitudo Technologies
Downloads 39

Abstract:

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Time-and State-Dependent Resampling, Fully Flexible Resampling, Markov chain, Markov chain Monte Carlo, Monte Carlo simulation, market simulation, synthetic market data, Entropy Pooling, relative entropy, Kullback-Leibler divergence, stationary transformations, Python Programming Language