Kirill Kiselev

Kirill Kiselev

Portfolio optimization

Estudiante de cuarto año en la Facultad de Mecánica y Matemáticas, Universidad Estatal de Novosibirsk (NSU); tesis sobre calibración del modelo Heston y delta-hedging dentro del mismo modelo. Trabaja en optimización de carteras.

Articles

Inside Our House Algorithm: HRP + Long/Short + CVaR with Hull-White

Inside Our House Algorithm: HRP + Long/Short + CVaR with Hull-White

A deep dive into Pipeline — the composite allocation algorithm we built on top of HRP. Hierarchical Risk Parity as the base, a long/short overlay driven by agent signals and confidence, and a final risk correction via CVaR with a Hull-White volatility adjustment. The full math from our spec, plus the actual Rust implementation.
12 Portfolio Optimization Algorithms, Compared: HRP, Black-Litterman, NCO and Beyond

12 Portfolio Optimization Algorithms, Compared: HRP, Black-Litterman, NCO and Beyond

One basket of crypto, twelve allocation algorithms, one honest comparison. We open-sourced a Rust portfolio optimizer that runs HRP, HERC, MVO, Black-Litterman, NCO, Entropy Pooling and more behind a single interface — here is how each one thinks and why no single winner exists.