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101
Quant & AI, from first principles

Notes on portfolio risk, simulation, and the LLM systems built on top of them — written by Manu Rathi, Director (Research) at Windmill Capital. See also: what I’ve built.

 

Drawdown and Its Linearity

Optimization
Risk

Conditional drawdown at risk, its special cases, and how to make the optimization linear using an auxiliary variable.

Dec 2022
Manu Rathi

Four-Moment Simulation — Mean, Variance, Skew, Kurtosis

Probability
Simulation

Simulate non-normal data points using Fleishman’s power method, targeting all four moments.

Oct 2021
Manu Rathi

Two-Moment Simulation — Mean and Variance

Probability
Simulation

Simulate data points when only the first two moments are known — i.e. the mean and standard deviation.

Oct 2021
Manu Rathi

Pinball Maze

Maths
Probability

What distribution do balls settle into after falling through a binary maze, and how does that connect to the normal distribution?

May 2020
Manu Rathi
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