Investments
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Optimal trading under proportional transaction costs
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
Optimal execution with a price limiter
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Smile in the low moments
Smile in the low moments
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Non-linear momentum strategies
Non-linear momentum strategies
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Momentum trading: ’skews me
Momentum trading: ’skews me
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs