The book contains a pedagogical walkthrough of the next generation investment framework that utilizes fully general Monte Carlo distributions, Entropy Pooling, and CVaR.
The latest PDF version of the Portfolio Construction and Risk Management book is available at: https://antonvorobets.substack.com/p/pcrm-book.
The latest version of the accompanying Python code to the Portfolio Construction and Risk Management book is available at: https://github.com/fortitudo-tech/pcrm-book.
The Portfolio Construction and Risk Management book © 2025 by Anton Vorobets is licensed under Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International. To view a copy of this license, visit https://creativecommons.org/licenses/by-nc-nd/4.0/
The accompanying code to the Portfolio Construction and Risk Management book © 2025 by Anton Vorobets is licensed under version 3 of the GNU General Public License. To view a copy of this license, visit https://www.gnu.org/licenses/gpl-3.0.en.html
The book has been written through a crowdfunding funding campaign. You can still support this project to get recognition and Substack perks.
If you contribute €100 or more to the book's crowdfunding, you will get a complimentary one-year paid Substack subscription to the Quantamental Investing publication. This subscription will give you access to exclusive case studies using the investment framework from the book.
You can stay updated on this book and other quantitative investment management related content by subscribing to the Quantamental Investing Substack publication or the joining the Applied Quantitative Investment Management LinkedIn group.
You can get additional introductory insights into the investment framework from this book through the fortitudo.tech open-source Python package. See this YouTube playlist for a walkthrough of the package, and this Substack post for a high-level introduction to the functionality.