Novel approach checks mutual fund style consistency with actual composition.
problem Ensuring mutual fund style consistency with actual fund composition.
method Time series decomposition of stock prices to analyze mutual fund composition.
result Notable deviations found between proclaimed fund style and actual composition.
A stochastic model helps maintain insufficiently funded pension funds.
problem Maintaining pension funds that are underfunded and require external financing.
method A time-homogeneous diffusion process with a barrier is used to model the unrestricted reserves value, and a renewal-reward process models the financing effort.
result Expected values and cost evaluations of maintenance are derived, and the approach is applied to a generalized Brownian motion process.
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
problem Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
method Decomposed fund returns into price pressure and fundamental components, and identified the impact of price chasing on fund flows.
result Funds' self-inflated returns lead to wealth reallocation and market crashes, and can be predicted by fund illiquidity.
Study optimizes dividend payout and funding timing in risky financial scenarios.
problem Maximizing dividends while accounting for random funding opportunities.
method Modified risk process with jump times of a Poisson process for funding.
result Explicit solution for exponential claims, optimal strategy depends on transaction costs.
Deep learning models predict mutual funds' performance better than traditional methods.
problem Predicting mutual funds' performance accurately.
method Deep learning models (LSTM, GRUs) trained with Bayesian optimization and ensemble methods.
result Ensemble method of LSTM and GRUs achieves the highest accuracy in forecasting mutual funds' Sharpe ratios.
Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this paper we examined if this growing demand for ETFs can be explained …
Researchers analyze optimal investment strategies for a collectivised pension fund with identical investors.
problem Optimizing investment strategies for a collectivised pension fund with identical investors.
method Analytical computation of optimal investment-consumption strategies for a fund of n identical investors with Epstein-Zin preferences.
result Constant consumption strategy is suboptimal for infinite collectives, suggesting annuities and defined benefit investments are suboptimal.
Study examines Indian equity mutual funds' investment style and risk-shifting.
problem Understanding how Indian equity mutual funds' investment styles affect their returns.
method Estimating size and style beta coefficients, identifying breakpoints, analyzing investment styles, and assessing risk-shifting intensity.
result Funds can enhance returns by shifting to high-return styles like Small Value and Small Blend.
Study finds stock selection ability of Chinese mutual funds is better than asset allocation ability.
problem Evaluating the performance of actively managed mutual funds in China.
method Developed performance measures for asset allocation and selection using holding-based models and compared them with Fama-French and Treynor-Mazuy models.
result Stock selection ability from holding-based models is positively correlated with Fama-French model, while industry allocation is positively correlated with Treynor-Mazuy model.
Optimal investment strategy for a large, identical investor or pension fund.
problem Finding the best investment strategy for a large group of identical investors.
method Developed a numerical algorithm and derived an analytic formula for optimal consumption.
result Proved the model's validity for both large and small groups of investors.
Sparse portfolio strategy from mutual funds' favorite stocks in China A share market.
problem Building a sparse portfolio from mutual funds' favorite stocks in a market with limited fund information.
method Analyzed mutual fund favorite stocks, used portfolio optimizer with constraints, and compared different methods.
result Sparse portfolios consistently outperform the benchmark index 930950.CSI.
The paper analyzes mutual fund advisors' portfolios to improve sales.
problem Improving sales of investment products to suitable advisors.
method Multivariate time series and cosine similarity analysis.
result Recognized patterns in advisors' portfolio interests.
Study shows group loans on Kiva platforms speed up funding time by 3.3 days.
problem Measuring the effect of group loans on funding time in Kiva microfinance platform.
method Deep learning in natural language processing to analyze loan descriptions.
result Forming group loans speeds up funding time by about 3.3 days.
Study optimizes funding rates for cryptocurrency perpetual futures to maintain price alignment.
problem Maintaining alignment between perpetual future prices and target values in cryptocurrency markets.
method Developed replicating portfolios and path-dependent funding rates using path-dependent infinite-horizon BSDEs and arbitrage pricing theory.
result Appropriate funding rate design can keep perpetual future prices aligned with target values.
The paper explores perpetual contracts in a financial market without arbitrage.
problem Modeling perpetual contracts in a continuous-time financial market.
method Derive model-free and semi-robust expressions for perpetual contracts' funding and discount rates.
result Explicit replication strategies for perpetual contracts are derived, relating them to traditional financial instruments.
Analyzes how many people can receive stable income in a pooled annuity fund.
problem Quantifying the trade-off between income stability and the number of members in a pooled annuity fund.
method Investment returns held constant, systematic longevity risk omitted. Derived an analytical expression for income stability.
result The number of fund members who receive stable income is independent of the mortality model.
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and u…
Maximizing withdrawal success in a pooled annuity fund with multiple annuitants.
problem Optimizing withdrawal success in a pooled annuity fund with homogeneous annuitants.
method Maximizing the probability of completing withdrawals until death over portfolio weight functions.
result Increasing the number of annuitants can significantly increase the maximum probability of withdrawal success.
Entropy measures financial drawdowns, volatility, and volatility regimes.
problem Analyzing financial time series with entropy measures.
method Transfer entropy, state space models, entropy of realised volatility.
result Entropy reveals information flows and volatility regimes in financial markets.
The paper analyzes how open-end fund sales affect prices and returns.
problem How open-end fund sales impact prices and returns.
method Continuous-time market-clearing model to derive expected-return restrictions.
result Forced-sale pressure predicts actual fund selling and positive returns.
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not just on the terminal value of the fund level, but also on the lowest and the high…
Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to estimate an informative set of asset weights is highly desirable for analysis. We present a compositional state space model for estimation of an…
Improved estimation of hedge fund tail risks using a novel model.
problem Estimation inefficiencies and need for manual threshold selection in extreme value regression models.
method Extended tail regression model with automatic threshold selection and artificial censoring.
result Significant link between tail risks and factors like equity momentum and financial stability index.
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven…
Prediction Factory automates predictive model development and evaluation.
problem Rapidly developing and sharing predictive models with domain experts.
method Data science automation system with three interfaces: baseline, full, and optional automation.
result Full automation interface generated reports funded 57.5% of the time, compared to 42.5% for baseline.
The study highlights the importance of Wrong-Way Risk in FVA calculations during financial market turmoil.
problem The relevance of Wrong-Way Risk in Funding Valuation Adjustments (FVA) during financial market uncertainty.
method The study examines the impact of various modelling choices, including default times and stochastic/deterministic funding spreads, on FVA calculations.
result WWR effects are non-negligible in FVA modelling from a risk-management perspective.
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which dictates that fund performance is size independent and fund growth is essentially ran…
The paper models SOFR and EFFR dynamics, reconciling diffusive and piecewise paths.
problem Updating interest rate models for SOFR, which is becoming a key benchmark.
method Calibrates a model to SOFR and EFFR futures prices, reconciling diffusive and piecewise paths.
result The model reflects key empirical features of SOFR dynamics and reconciles diffusive and piecewise paths.
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a m…
The paper presents new machine learning methods: signal composition, which classifies time-series regardless of length, type, and quantity; and self-labeling, a supervised-learning enhancement. The paper describes further the implementation of the methods on a financial search engine system to identify behavioral simil…
Derives pricing formulas for perpetual futures contracts.
problem Ensuring fair pricing of perpetual futures contracts without expiration.
method Explicit expressions derived for various types of perpetual contracts, including linear, inverse, and quantos futures.
result Futures price is the risk-neutral expectation of the spot price sampled at a random time reflecting funding payments.
Study optimal portfolio for households with two goals: random and fixed deadlines.
problem Optimal portfolio choice for households managing random and fixed deadlines.
method Maximizes weighted sum of probabilities of funding both goals in a Black-Scholes market.
result Non-monotonic value function due to interaction between goals under forced funding.
Investigates how NSFR affects FVA and formulates FVA as a shortest path problem.
problem Relationship between FVA and NSFR, and optimal funding strategy.
method Formulates FVA as a shortest path problem, calculates optimal funding decisions.
result Provides optimal funding decisions for minimum funding cost.
Collectivized funds need less initial capital to match individual funds, improving pension adequacy.
problem Determining optimal fund management for diverse investor needs.
method Modeling collectivized investment funds with realistic parameters and demonstrating their superiority over individual funds.
result Collectivized funds require less initial capital to match individual funds, enhancing pension adequacy.
This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main investment strategies and the risk models employed. We address the problems in H…
Study on CEF discount in Bangladesh, finds size and maturity impact, turnover negative.
problem Exploring the discount puzzle in closed-end mutual funds in Bangladesh.
method Fixed effects panel regression with diagnostic tests.
result Fund size and maturity positively impact CEF discount, turnover negatively impacts.
Optimizes investment strategies for retirees with longevity risk.
problem Maximizing retirement savings under longevity risk for a group of investors.
method Analytic and numerical solutions for investment strategies in both discrete and continuous time models.
result Analytic formulae for optimal investment strategies in both discrete and continuous time models.
This paper uses SARIMA models to forecast Nifty 50 index.
problem Forecasting the movement of Nifty 50 index.
method Applied Seasonal Auto Regressive Integrated Moving Average (SARIMA) models.
result The most appropriate SARIMA model was selected based on AIC criteria.
Paper finds funding rates on BitMEX predict Bitcoin inverse swap contracts.
problem Understanding the relationship between BitMEX funding rates and Bitcoin derivatives.
method Examined Heteroskedasticity of funding rates, established Granger causality, developed GARCH models for prediction.
result Funding rates on BitMEX predict Bitcoin inverse swap contracts.
Optimal dividend strategy found for a fund with a finite time horizon.
problem Optimal dividend strategy for a fund with a finite time horizon.
method Characterized value function as unique solution to Hamilton-Jacobi-Bellman equation; Skorokhod reflection at time-dependent boundary.
result Optimal dividend strategy realized by Skorokhod reflection of fund's value at a time-dependent boundary.
PolyModel theory and iTransformer improve hedge fund portfolio construction.
problem Sparse financial time series data makes portfolio construction challenging.
method Identify asset pool, select risk factors, create quantitative and classical measures, and use iTransformer for trend capture.
result Improved Sharpe ratio and annualized return compared to benchmarks.
Paper optimizes portfolios for absolute return funds with constraints.
problem Optimizing portfolios with constraints for absolute return funds.
method Stochastic control framework with numerical solution using kernel-based collocation method.
result Leverage is necessary to achieve the target level.
This paper optimizes perpetual contract liquidity by accounting for funding rates.
problem Optimal liquidity provision for perpetual contracts with stochastic funding rates.
method Formulated a control problem, solved with a HJB scheme, and calibrated on real data.
result Funding-aware market making improves performance and reduces inventory risk.
SRMF with high ESG ratings outperform during economic crises.
problem Performance of socially responsible mutual funds during economic downturns.
method Comparative analysis of SRMF with different ESG ratings.
result High ESG rated SRMF outperform low ESG rated SRMF during economic crises.
Target Date Funds may not adapt well, leading to poor performance.
problem Target Date Funds may not adapt to investors' needs effectively.
method Modeling with historical returns and bootstrap resampling to compare performance.
result Adaptive investment strategies significantly outperform Target Date Funds.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
problem Inconsistencies in cash-flow forecasting under different measures and stochastic payment times.
method Use discounting sensitivities (funding-curve hedge ratios) for replication and propose a liquidity valuation adjustment.
result Aligns forecasting with replication strategy and avoids measure-mixing issues.
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
problem Active liquidity management by mutual funds in India.
method Examined cash holdings and stock purchases of Indian equity mutual funds.
result Funds with active liquidity choices outperform, highlighting the importance of this strategy.
Blockchain protocol improves traditional mutual funds with performance fees and investor protection.
problem Operational issues and performance fees in traditional mutual funds.
method Developed a blockchain protocol that integrates features of mutual funds and hedge funds.
result Blockchain can simplify performance fee calculations and protect investors.