On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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2 results for “bad-beta”

Betting Against (Bad) Betaq-fin.PM

Proposes a new factor to improve BAB strategies by recognizing bad-beta assets.

problem Investors often misprice assets based on beta, ignoring bad-beta.

method Double-sorting on beta and bad-beta to create a new factor.

result The Betting Against Bad Beta factor improves BAB strategies.

beta bad-beta transaction costs BAB strategies

2024-08-31abs ↗pdf ↗

Combining Independent Smart Beta Strategies for Portfolio Optimizationq-fin.PM

Smart beta, also known as strategic beta or factor investing, is the idea of selecting an investment portfolio in a simple rule-based manner that systematically captures market inefficiencies, thereby enhancing risk-adjusted returns above capitalization-weighted benchmarks. We explore the idea of applying a smart strat…

2018-08-07abs ↗pdf ↗