Technical papers
Numerical methods for an optimal order execution problem
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding...
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given...
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More Technical papers articles
Cutting edge: Correlation functions in the crude oil and natural gas...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the...
High-frequency trading and long-term investors: a view from the buy...
With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on market quality and the opportunities that HFT creates for long-term (LT) investors is important in building an efficient regulatory framework. This paper demonstrates...
Properties of the most diversified portfolio
This paper expands upon "Toward Maximum Diversification", a 2008 paper by Choueifaty and Coignard (Journal of Portfolio Management 35(1), 40-51). We present new mathematical properties of the diversification ratio and most diversified portfolio (MDP),...
Risk without return
Risk-only investment strategies have been growing in popularity as traditional investment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations...
The alpha alignment factor: a solution to the underestimation of risk...
A common criticism of risk models is that they have a tendency to underestimate the risk associated with optimized portfolios. Quantitative portfolio managers have historically used a variety of ad hoc techniques to overcome this issue in their investment...
Time-bridge estimators of integrated variance
We present a set of log-price integrated variance estimators, equal to the sum of open-high-low-close bridge estimators of spot variances within n subsequent time-step intervals. The main purpose of some of the introduced estimators is to take into account...
Dynamic option-based strategies under downside loss aversion
Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall...
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