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.
Investment diversification affects financial stability, depending on network connectivity.
Investing in cryptocurrencies can improve portfolio risk-return profile, especially with diversification strategies.
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio siz…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the biparti…
Diversification improves profits for heavy-tailed investments.
Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently dictinct risk-based …
The paper develops diverse risk models for US stock portfolios.
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [Kelly (1956)] that incorporates these features, and us…
Paper introduces Arte-Blue Chip Index for diversifying portfolios with art investments.
New methods show sparse portfolios offer no advantage over mean-variance in diversification.
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing markets. Results reveal a hi…
In this paper, we propose an innovative investment framework incorporating asset allocation and class diversification oriented specifically for the biotechnology industry. With growing interests and capitalization in multiple biotech markets, investors require a more dynamic method of managing their assets within indiv…
Mathematical model for focused investing reduces diversification risks.
We study investment strategy in different models of financial markets, where the investors cannot reach a perfect knowledge about available assets. The investor spends a certain effort to get information; this allows him to better choose the investment strategy, and puts a selective pressure upon assets. The best strat…
New model recommends stocks considering individual preferences and diversification.
Machine learning categorizes mutual funds for better investment strategies.
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loa…
Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim to make precise. We argue that the usefulness of an asset can only be determine…
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitz's portfolio theory. We identified that there was a negative relationship…
This paper explores portfolio management strategies to maximize alpha and minimize beta.
Paper proposes novel hedging strategies using LSTM models for diversified investment portfolios.
Paper presents a new method for better financial market forecasting.
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework by Merton (1974), we discuss …
Specialization and diversification are two major strategies that complex systems might exploit. Given a fixed amount of resources, the question is whether to invest this in elements that respond in a correlated manner to external perturbations, or to build a diversified system with groups of elements that respond in a …
Trend following in cryptocurrencies yields high returns, similar to commodities.
Study on diversifying equity portfolios during financial crises and stability.
Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross--correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an inves…
A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fu…
Investor skill levels affect optimal portfolio size, study shows.
The paper analyzes tech specialization and diversification at various scales.
Quantum optimization for portfolios with risk and diversification constraints.
Study optimizes investment strategies in volatile markets using machine learning and Bayesian techniques.
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the stage-wise optimal allocation over a time horizon with potential investments in mul…
A time-varying network reveals community structure in cryptocurrencies.
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference…
Investigates cryptocurrency maturity through collective dynamics and diversification.
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compressi…
The paper analyzes cryptocurrency returns and uses community detection to create an investment portfolio.
We propose a network description of large market investments, where both stocks and shareholders are represented as vertices connected by weighted links corresponding to shareholdings. In this framework, the in-degree () and the sum of incoming link weights () of an investor correspond to the number of asset…
This study diversifies stock and crypto portfolios using network analysis.
This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank credit network and an investment portfolio of banks. Bankruptcy reproductive ratio …
The paper introduces risk consistency properties for credit ratings.
G3M impermanent losses are a key issue in decentralized finance, affecting diversification benefits.
Investigates how diversification preferences relate to risk attitudes.
Study examines diversification of mid-mountain ski tourism.
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the following issues: Is the stan…
Diversification increases systemic risk, contrary to belief.
The study infers risk preferences from portfolio choices and measures portfolio efficiency.