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.
Study examines Indian equity mutual funds' investment style and risk-shifting.
Deep learning models predict mutual funds' performance better than traditional methods.
Study finds stock selection ability of Chinese mutual funds is better than asset allocation ability.
This study tackles mutual fund portfolio prediction, focusing on novel items.
We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches with the fund composition. …
Machine learning categorizes mutual funds for better investment strategies.
Sparse portfolio strategy from mutual funds' favorite stocks in China A share market.
Optimizes fund portfolio updates using linear programming and heuristic search.
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
Blockchain protocol improves traditional mutual funds with performance fees and investor protection.
This paper examines the risk-adjusted performance and differential fund flows for socially responsible mutual funds (SRMF). The results show that SRMF rated high on ESG, perform better than lower rated ESG funds during the period of economic crisis. The findings also show that low ESG rated SRMF had higher differential…
Two pension funds mutually insure against longevity risk.
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 …
A new method identifies similar mutual funds using graph learning.
Study shows mutual funds add little value for uninformed investors.
New methods for equity fund selection and portfolio construction using mutual fund top holdings.
Study categorizes mutual funds using natural language processing from unstructured data.
Study benchmarks mutual funds in India using DEA, finding efficiency metrics.
Study on CEF discount in Bangladesh, finds size and maturity impact, turnover negative.
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund the…
The study quantifies the impact of fund miscategorization using machine learning.
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distri…
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…
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…
In mutual fund, an investment adviser gives advice to clients about investing in securities such as stocks, bonds, mutual funds, or exchange traded funds. Some investment advisers manage portfolios of securities. In this paper, we analyze advisor portfolio for each advisor so as to recognize the pattern in each adviser…
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…
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…
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the numéraire portfolio (i.e. the optimal portfolio for the log utility). If any p…
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving Brownian motion, and they are supposed to be currently observable. It is shown t…
A new model selects low-carbon mutual funds considering ESG criteria, risk, and investor preferences.
Activists align with large fund preferences for success.
By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the Average Commonality Coefficient (ACC), which measures how frequently the assets in the fund portfolio are present in th…
Evology models US equity mutual funds interactions for investment strategies.
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…
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to c…
The study analyzes ETFs' portfolio optimization and tail-risk management.
The paper analyzes how open-end fund sales affect prices and returns.
Optimal portfolios are found for a wide range of utility functions under hyperbolic returns.
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
Study on optimal fees in hedge funds with first-loss compensation.
Paper learns skill distributions from game outcomes, proving minimax optimality.
Deep learning predicts market sensitivities for cost-effective index tracking.
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing part of stock transactions: their assets, as a percentage of GDP, have been multipl…
We consider and extend the adversarial agent-based learning approach of Gy{ö}rfi {\it et al} to the situation of zero-cost portfolio selection implemented with a quadratic approximation derived from the mutual fund separation theorems. The algorithm is applied to daily sampled sequential Open-High-Low-Close data and se…
Study risk-constrained Kelly optimization for mutually exclusive outcomes, proving support invariance and developing a structured algorithm.
Generative model learns investment strategies without explicit utility specification.
New neural network approach using mutual information.
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-c…