Technical paper/Portfolio
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
Allocating and forecasting changes in risk
This paper considers time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components.
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.
Future portfolio returns and the VIX term structure
The authors use a measure that captures the expected evolution of risk and generate results supportive of the concept that there are multiple facets within volatility risk that are priced individually.
Detecting prudence and temperance in risk exposure: the hybrid variance framework
This paper analyses the correlations between returns and HVs in the short and long terms while developing a risk measure designed to contain the impacts of prudence and temperance on risk aversion.
Are there multiple independent risk anomalies in the cross section of stock returns?
Using multivariate portfolio sorts, firm-level cross-sectional regressions and spanning tests, this paper shows that, in the cross section of stock returns, most commonly used risk measures in academia and in practice are separate return predictors with…
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning
Correlated idiosyncratic volatility shocks
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Quant investing in cluster portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
Portfolio allocation based on expected profit and loss measures
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.
The price of liquidity in the reinsurance of fund returns
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
Fund size and the stability of portfolio risk
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Eigenportfolios of US equities for the exponential correlation model
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
Second-order risk of alternative risk parity strategies
In this paper, the authors provide theoretical and empirical evidence of the contribution of second-order risk to realized volatility for alternative risk parity strategies.