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.
Proposes a new framework to optimize portfolios with reduced estimation errors.
Optimizes a portfolio for an investor preferring accepted securities over a reference security.
Study shows mutual funds add little value for uninformed investors.
This paper optimizes portfolio selection by penalizing tracking error, improving Sharpe ratio.
Speeds up complex portfolio exposure calculations.
Paper explains DRL strategies for portfolio management using linear models.
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries …
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given through probabilities, correlations and the like, to an analytical approximation of the distribution. Once this is done we sho…
Introduces PIT-plot for prioritizing projects based on their impact.
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the dis…
This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the future disappointment from the realisation. The choice of over-optimism or over…
The paper analyzes how behavioral investors make portfolio decisions using Markowitz Stochastic Dominance criteria.
Investigates fund separations and stability for long-term optimal investments.
A method for dynamic portfolio choice with uncertain parameters using Pontryagin projection.
A framework for goal-based investing with penalties for fund transfers.
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear funct…
A new method for calculating risk budgeting portfolios is proposed.
Deep RL outperforms traditional MVO in optimal portfolio allocation.
This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. This measure allows comparing products valued with different models (pricing hypothesis) under a homogeneous framework which allows concluding…
Paper explores limitations of generative models in finance, proposing a new method for portfolio generation.
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an …
Asymmetry PRISM outperforms CPU and GPU solvers for institutional rebalancing.
Bayesian approach for constructing and rebalancing sparse index-tracking portfolios.
Project predicts stock performance and builds an efficient portfolio for six Indian sectors.
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial insti…
Markowitz's celebrated mean--variance portfolio optimization theory assumes that the means and covariances of the underlying asset returns are known. In practice, they are unknown and have to be estimated from historical data. Plugging the estimates into the efficient frontier that assumes known parameters has led to p…
AI system analyzes financial analyst recommendations and track records for portfolio construction.
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to identify the s…
New model approximates sparse mean-CVaR portfolio optimization efficiently.
Geometric Brownian motion simulates stock prices for Brazilian small caps index.
New EPS insurance offers partial protection against superannuation losses.
We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of …
WaveCorr uses deep reinforcement learning to manage portfolios more effectively.
This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one reference portfolio. The only user input in our framework is a multi-factor model (a "prior" model hereafter) for index portf…
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three set of six portfolios e…
EGAB algorithms improve online portfolio selection.
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penal…
The paper simplifies hedging and portfolio allocation in markets without a risk-free asset.
This paper aims at developing a new method by which to build a data-driven portfolio featuring a target risk-return. We first present a comparative study of recurrent neural network models (RNNs), including a simple RNN, long short-term memory (LSTM), and gated recurrent unit (GRU) for selecting the best predictor to u…
New method improves portfolio selection by filtering noisy covariance matrices.
Method constructs hedging portfolio for carbon risk but not ESG risk.
By employing the technique of enlargement of filtrations, we demonstrate how to incorporate information about the future trend of the stochastic interest rate process into a financial model. By modeling the interest rate as an affine diffusion process, we obtain explicit formulas for the additional expected logarithmic…
Develops risk measures for markets with constraints and costs.
TRP uses tree-based approach for market-neutral portfolios.
Proposes a robust and sparse portfolio selection model to reduce estimation errors and transaction costs.
We consider the following problem in stochastic portfolio theory. Are there portfolios that are relative arbitrages with respect to the market portfolio over very short periods of time under realistic assumptions? We answer a slightly relaxed question affirmative in the following high dimensional sense, where dimension…
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - o…
We derive asset pricing formula for markets with incomplete information and subjective views.