Technical paper/Portfolio construction
Supervised similarity for firm linkages
Quantum fidelity is used to capture dependency structures in equity
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Beyond Markowitz with quantum annealing
Venturelli and Kondratyev use quantum annealers to optimise portfolios
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance