New heuristic selects fewer assets for efficient portfolios, reducing costs.
problem High transaction costs and fees from including many assets in portfolios.
method Surrogate formulation to select assets, re-optimizes portfolio with fewer assets.
result Effective in constructing portfolios with fewer assets, reducing costs.
Commodity ETFs' portfolio optimization under heavy-tailed returns.
problem Optimizing commodity ETF portfolios under heavy-tailed return behavior.
method Passive buy-and-hold vs. rolling-window optimized portfolios.
result Improved risk-adjusted performance with minimum-risk and CVaR-based portfolios.
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo samples of future paths of implied volatility surfaces. These paths and the surfa…
Optimizes portfolios by identifying causal drivers of diversification.
problem Achieving efficient portfolio optimization based on asset and diversification dynamics.
method Commonality Principle, Reichenbach Common Cause Principle, conformal maps, Bayesian networks, correlation-based algorithms, neural networks, SDEs.
result Optimal portfolio diversification achieved through causal methodologies and sensitivity forecasting.
This paper analyzes ETFs with Taiwan exposure, finding heavy tails and asymmetric volatility.
problem Heavy tails and asymmetric volatility in Taiwan-related ETFs.
method Tail-risk diagnostics, asymmetric volatility modeling, and portfolio optimization under mean--variance and CVaR criteria.
result CVaR optimization produces more concentrated allocations, favoring SMH during the post-COVID AI-driven expansion.
Study introduces a new investment strategy model using lazy factor and probability weights.
problem Optimizing investment strategies in volatile markets with transaction costs.
method Combines Price Portfolio Forecasting and Mean-Variance Models with Transaction Costs, using probability weights as laziness factor coefficients.
result Model demonstrates adaptability and generalizability in transforming investment strategies.
Deep neural networks decompose SDF into linear and nonlinear components.
problem Constructing accurate stochastic discount factors (SDFs) for pricing.
method Additive decomposition of a deep neural network trained to construct SDFs.
result The PTK representation delivers significant performance gains in equity data.
This paper introduces tangent display maps to simplify tangent category theory.
problem The category of smooth manifolds does not admit all pullbacks, complicating tangent category theory.
method Develops tangent display maps as a special class of maps well-behaved with respect to pullbacks.
result Tangent display maps simplify previous work in tangent categories and provide a new way to define open subobjects.
Paper constructs infinitely many tangent functors on diffeological spaces.
problem Tangent spaces in diffeological spaces are not uniquely defined.
method Introduced and constructed infinitely many non-isomorphic tangent functors.
result The choice of tangent functor is not unique outside smooth manifolds.
Study on triviality of tangent and generalized tangent bundles of manifolds.
problem Triviality of tangent and generalized tangent bundles of manifolds.
method Analyzing relations between tangent bundle TM and generalized tangent bundle TM=TM⊕T∗M of manifolds. result The generalized tangent bundle of a parallelizable manifold is trivial, but the converse is not always true.
AGCA approximates angular variation on the unit sphere, reducing extremal dependence problems to eigenanalysis.
problem Approximating angular variation in multivariate extremes.
method Anchored geodesic component analysis (AGCA) approximates angular variation by great subspheres constrained to pass through a chosen reference direction.
result AGCA finds concentrated tail directions in daily equity-portfolio losses, explaining about 91% of anchored variation.
Fundamental portfolio beats market portfolio under certain conditions.
problem Empirical evidence of fundamental portfolio outperformance.
method Theoretical foundation based on stock price reversion to fundamental values.
result Fundamental portfolio outperforms market portfolio under strong reversion conditions.
Sprays on Frechet manifolds connect connections and tangent structures.
problem Characterizing linear symmetric connections on Frechet manifolds.
method Constructing connection maps and linear symmetric connections on tangent and second-order tangent bundles using sprays.
result A bijective correspondence exists between linear symmetric connections on tangent bundles and sprays.
The paper proves Γ-convergence of discrete tangent-point energies to continuous energies and ropelength, with applications to biarc curves.
problem Proving convergence of discrete tangent-point energies to continuous energies and ropelength.
method Using biarc curves and interpolation, the paper proves Γ-convergence of discretized tangent-point energies to the continuous tangent-point energies and ropelength functional. result Discrete almost minimizing biarc curves converge to ropelength minimizers and minimizers of continuous tangent-point energies.
We propose a special deformation of the Sasaki metric on tangent and unit tangent bundle of a Hermitian locally symmetric manifold. Geodesics of this deformed metric have different projections on a base manifold for tangent or unit tangent bundle cases in contrast to usual Sasaki metric. Nevertheless, the projections o…
Study of normal and tangent maps to frontals.
problem Understanding geometric and dynamical properties of frontals.
method Geometrical and dynamical analysis of normal and tangent maps.
result Parallels of the tangent map to a frontal curve are right equivalent to the tangent map of a frontal curve under certain conditions.
Generalizes Connes's tangent groupoid for sub-Riemannian geometry.
problem Calculating tangent cones in sub-Riemannian geometry.
method Constructs a completion of MimesMimesR+imes using sub-Riemannian metric. result Calculates all tangent cones in Gromov-Hausdorff distance.
Analytic sets with unique infinite tangent cone are algebraic.
problem Characterizing analytic sets with unique infinite tangent cones.
method Analytic and algebraic set properties, degree of complex algebraic sets.
result Degree of Lipschitz normally embedded sets equals their infinite tangent cone degree.
We show that for any Ricci-flat manifold with Euclidean volume growth the tangent cone at infinity is unique if one tangent cone has a smooth cross-section. Similarly, for any noncollapsing limit of Einstein manifolds with uniformly bounded Einstein constants, we show that local tangent cones are unique if one tangent …
The paper examines Ricci flows with closed and smooth tangent flows, proving uniqueness and characterizing ancient flows.
problem Characterizing and understanding Ricci flows with closed and smooth tangent flows.
method Analyzing ancient and finite-time singularity Ricci flows to prove uniqueness and characterizations.
result The tangent flow is unique and characterizes ancient and finite-time singularity flows.
Uniqueness proven for stable hypersurface tangent cones.
problem Stability and uniqueness of tangent cones for stable hypersurfaces.
method Analysis of isolated singularities and tangent cones of stable minimal hypersurfaces.
result Uniqueness of tangent cones with integer multiplicities.
Reverse-weighted portfolios outperform in commodity futures markets.
problem Efficiency of commodity futures markets.
method Permutation-weighted portfolios, rank-based methods.
result Reverse-weighted portfolio outperforms price-weighted portfolio.
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this paper, it is shown that in a continuous-time market where the risky prices are …
This paper compares three portfolio designs for Indian stocks.
problem Designing an optimum portfolio that balances return and risk.
method Three approaches: minimum risk, optimum risk, and Eigen portfolios.
result Optimum risk portfolios and Eigen portfolios identified for each sector.
Paper proves unique tangent maps for complex maps into algebraic varieties.
problem Proving uniqueness of tangent maps for complex maps into algebraic varieties.
method Developed techniques to prove uniqueness of tangent maps for weakly holomorphic and locally approximable maps.
result Established unique tangent cone property for weakly holomorphic maps into projective algebraic varieties.
Project predicts stock prices for robust portfolio design in Indian sectors.
problem Precise stock price prediction for robust portfolio design.
method Minimum variance and optimal risk portfolio optimization using past stock prices.
result Backtesting shows improved performance of optimized portfolios over equal weight portfolio.
Extends differential geometry concepts to manifolds with super tangent bundles.
problem No specific problem stated; extending differential geometry to super tangent bundles.
method Introduces super tangent bundle and extends differential geometry concepts.
result Basic notions of differential geometry extended to manifolds with super tangent bundles.
A new factor analysis method using ICA reduces portfolio concentration and diversifies excess kurtosis.
problem Standard factor analysis suffers from issues with pairwise correlations of asset returns.
method Identifies factors based on non-Gaussianity instead of variance, using ICA.
result Fat-tailed portfolios significantly reduce portfolio concentration and winner-takes-all problem.
Considering the tangent plane at a point to a surface in the four-dimensional Euclidean space, we find an invariant of a pair of two tangents in this plane. If this invariant is zero, the two tangents are said to be conjugate. When the two tangents coincide with a given tangent, then we obtain the normal curvature of t…
Researchers compute the cohomology of an elliptic tangent bundle.
problem Computing the cohomology of a specific Lie algebroid.
method Direct computation of cohomology.
result The cohomology of the elliptic tangent bundle is computed.
We classify compact Kähler manifolds with semi-positive holomorphic bisectional and big tangent bundles. We also classify compact complex surfaces with semi-positive tangent bundles and compact complex 3-folds of the form P(T∗X) whose tangent bundles are nef. Moreover, we show that if X is a Fano manifold such t…
The paper defines a new structure on tangent sphere bundles and characterizes their properties.
problem Characterizing properties of tangent sphere bundles with contact pseudo-metric structures.
method Introduced a contact pseudo-metric structure on TεM and proved manifold properties based on constant sectional curvature. result The tangent sphere bundle TεM is (κ,μ)-contact pseudo-metric manifold if and only if the manifold M has constant sectional curvature. New Calabi-Yau metrics found on complex symmetric spaces.
problem Finding Calabi-Yau metrics on complex symmetric spaces.
method Complete Calabi-Yau metrics with prescribed horospherical singular tangent cone.
result First examples of Calabi-Yau smoothings of singular tangent cones.
Paper uses neural networks to compress large portfolios of options, reducing risk and capital requirements.
problem Managing risk and capital requirements for large portfolios of financial options.
method Artificial neural network framework for portfolio compression, static hedging, and risk management.
result The compressed portfolio's risk profiles align closely with the target portfolio's, reducing capital requirements.
A novel method for parallel transport and geodesics on submanifolds.
problem Understanding parallel transport and geodesics on submanifolds.
method Rolling tangent space to visualize and analyze parallel transport and geodesics.
result Conditions for parallel transport and geodesics are simplified and visualized in the tangent space.
Study geodesics and F-geodesics on tangent bundles over para-Kähler-Norden manifolds.
problem Investigate geodesics and F-geodesics on tangent bundles.
method Investigate geodesics and F-geodesics on tangent bundles and φ-unit tangent bundles equipped with φ-Sasaki metric over para-Kähler-Norden manifolds.
result Investigate and analyze geodesics and F-geodesics on tangent bundles.
Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average c…
In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a po…
This study compares three portfolio design approaches for stock selection.
problem Designing a profitable portfolio with precise stock returns and risks.
method Three portfolio design approaches: mean-variance portfolio, hierarchical risk parity, and autoencoder-based portfolio.
result Autoencoder portfolios outperform MVP on annual returns, but MVP is best on risk-adjusted returns.
We give the complete solution to the local diffeomorphism classification problem of generic singularities which appear in tangent surfaces, in as wider situations as possible. We interpret tangent geodesics as tangent lines whenever a (semi-)Riemannian metric, or, more generally, an affine connection is given in an amb…
Characterizes special curves on surface tangent bundles.
problem Understanding curves on surface tangent bundles.
method Characterization of Legendre and slant curves.
result Characterizations for N-Legendre and N-slant curves.
New portfolios outperform traditional methods by using factor weights.
problem Improving portfolio allocation in markets driven by factors.
method Factor-weighted Dirichlet portfolios outperform uniform Dirichlet portfolios.
result Factor-weighted portfolios outperform uniformly sampled portfolios in market returns.
We continue the program of structural differential geometry that begins with the notion of a tangent category, an axiomatization of structural aspects of the tangent functor on the category of smooth manifolds. In classical geometry, having an affine structure on a manifold is equivalent to having a flat torsion-free c…
The paper studies singularities on parallels of tangent developable surfaces of frontal curves.
problem Understanding singularities on parallels of tangent developable surfaces.
method Generalization of tangent developable surfaces and parallel deformations for frontal curves in arbitrary dimensions.
result Classification of generic singularities on parallels of tangent developable surfaces for frontal curves in 3 or 4 dimensional Euclidean spaces.
This study compares two portfolio optimization methods on Indian stocks.
problem Designing an optimal portfolio considering stock returns and risks.
method Hierarchical Risk Parity and Eigen Portfolio approaches on NIFTY 50 sectors.
result Hierarchical Risk Parity portfolio outperforms Eigen portfolio in most sectors tested.
Signature portfolios approximate optimal wealth in non-Markovian markets.
problem Approximating optimal wealth in non-Markovian markets.
method Linear path-functional portfolios based on signatures of market weights.
result Signature portfolios can uniformly approximate any continuous portfolio function.
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transact…
Researchers found all invariant contact structures on tangent sphere bundles of compact symmetric spaces.
problem Identifying all invariant contact metric structures on tangent sphere bundles of compact rank-one symmetric spaces.
method Explicitly obtained all structures, distinguishing K-contact, Sasakian, and 3-Sasakian structures.
result There is a unique Sasakian-Einstein metric on tangent sphere bundles of spheres and real projective spaces.