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📊 5 parts

Portfolio Construction & Risk

From Markowitz to production HRP + CVaR: how to allocate across crypto assets, model tail dependence with copulas, and size positions without blowing up.

  1. 01
    Markowitz Portfolio Theory for Crypto: From Zero to Hero
    Sep 25, 2025 #portfolio optimization

    Markowitz Portfolio Theory for Crypto: From Zero to Hero

    Building optimal crypto portfolios with Python - because YOLO isn't a strategy. Learn how to apply Nobel Prize-winning portfolio theory to crypto investments with practical Python code examples.
  2. 02
    12 Portfolio Optimization Algorithms, Compared: HRP, Black-Litterman, NCO and Beyond
    May 22, 2026 #portfolio optimization

    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.
  3. 03
    Inside Our House Algorithm: HRP + Long/Short + CVaR with Hull-White
    May 25, 2026 #portfolio optimization

    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.
  4. 04
    Copula Models for Joint Risk Modeling in Crypto Portfolios
    Mar 30, 2026 #risk

    Copula Models for Joint Risk Modeling in Crypto Portfolios

    Beyond linear correlation — using copula models to capture tail dependence and joint risk in cryptocurrency portfolios for accurate VaR and CVaR estimation.
  5. 05
    The Kelly Criterion for Strategies: How to Size Positions and Allocate Capital
    Jun 23, 2026 #risk management

    The Kelly Criterion for Strategies: How to Size Positions and Allocate Capital

    A strategy with positive expected value can still blow up your account if you get the bet size wrong. We walk through the Kelly criterion from deriving the formula to a portfolio of strategies: why full Kelly is dangerous, how fractional Kelly captures 75% of the growth at half the volatility, and an interactive calculator that shows how the Kelly fraction moves return and risk.