Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
The collateral transition to SOFR will create convexity adjustments that need to be modelled
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios