Kirill Kiselev

Kirill Kiselev

Portfolio optimization

Étudiant en quatrième année à la Faculté de Mécanique et Mathématiques de l'Université d'État de Novossibirsk (NSU) ; thèse sur la calibration du modèle de Heston et le delta-hedging au sein du même modèle. Travaille sur l'optimisation de portefeuille.

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.