Technical paper/Portfolio management
A new approach to asset pricing models: the term structure of leverage and refinancing risk
The authors provide new insights into leverage-related risk factors in stock returns and draw attention to the significance of debt maturities and refinancing in understanding leverage effects in asset pricing.
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
Dynamic rebalancing of a risk parity investment portfolio
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios