Printed from https://ideas.repec.org/s/rsk/journ6.html
Content
Undated material is presented at the end, although it may be more recent than other items
Undated
- 2163658 Option strategies based on semiparametric implied volatility surface prediction
by Francesco Audrino and Dominik Colangelo - 2163659 Constructing the best trading strategy: a new general framework
by Philip Z. Maymin and Zakhar G. Maymin - 2163661 On a multi-timescale statistical feedback model for volatility fluctuations
by Lisa Borland and Jean-Philippe Bouchaud - 2163664 Perspectives on systemic risk
by Dean Curnutt and George Lam - 2164432 Downside risk properties of foreign exchange and equity investment strategies
by Jacob Gyntelberg and Andreas Schrimpf - 2164437 Gauge invariance, geometry and arbitrage
by Samuel E. Vazquez and Simone Farinelli - 2164439 Advances in cointegration and subset correlation hedging methods
by Marcos M. Lopez de Prado and David Leinweber - 2164441 Understanding risk-based portfolios
by Ryan Taliaferro - 2186516 Optimal trading with linear costs
by Joachim De Lataillade, Cyril Deremble, Marc Potters and Jean-Philippe Bouchaud - 2186517 Momentum strategies for style and sector indexes
by Linda H. Chen & George J. Jiang and Kevin X. Zhu - 2186518 When games meet reality: is Zynga overvalued?
by Zalán Forró, Peter Cauwels and Didier Sornette - 2186519 Rationalization of investment preference criteria
by Jacques Pézier - 2206557 Jointly modeling the prices of American depository receipts, the local stock and the US dollar
by Dilip B. Madan - 2206564 Balanced baskets: a new approach to trading and hedging risks
by David H. Bailey & Marcos López de Prado - 2206579 The role of diversification risk in financial bubbles
by Wanfeng Yan, Ryan Woodard and Didier Sornette - 2206585 A proof of the optimality of volatility weighting over time
by Winfried G. Hallerbach - 2228968 Leveraged exchange-traded funds: admissible leverage and risk horizon
by Tim Leung and Marco Santoli - 2228975 Universal algorithmic trading
by Vladimir V. V’yugin and Vladimir G. Trunov - 2228985 A least discrimination method for portfolio optimization: an alternative to the Black–Litterman approach
by Jacques Pézier - 2228989 Alternative indexing methods: point of reference – does it matter?
by Patrick Gander & Daniel Leveau and Thomas Pfiffner - 2228992 Mean reversion in stock prices: implications for long-term investors
by Laura Spierdijk and Jacob A. Bikker - 2255754 Time-bridge estimators of integrated variance
by Alexander Saichev and Didier Sornette - 2255757 Risk without return
by Lisa R. Goldberg and Ola Mahmoud - 2255764 Properties of the most diversified portfolio
by Yves Choueifaty & Tristan Froidure and Julien Reynier - 2255771 High-frequency trading and long-term investors: a view from the buy side
by Nataliya Bershova and Dmitry Rakhlin - 2275046 Statistical evidence on the mean reversion of interest rates
by Jan Willem van den End - 2275053 An inflation-hedging strategy with commodities
by Nicolas Fulli-Lemaire - 2275059 Optimal limit order execution in a simple model for market microstructure dynamics
by Yuri Burlakov & Michael Kamal and Michele Salvadore - 2275108 The enhanced risk premium factor model and expected returns
by Javier Estrada - 2293571 Enhancing the profitability of earnings momentum strategies: the role of price momentum, information diffusion and earnings uncertainty
by Marc-Gregor Czaja & Philipp Kaufmann and Hendrik Scholz - 2293573 Efficient high-frequency variance estimators
by Alexander Saichev & Didier Sornette and Vladimir Filimonov - 2293580 The impact of stop losses on short-term countertrend trading strategies
by Nicholas J. Libertini - 2293586 Market crises and the 1/N asset-allocation strategy
by Marco Escobar & Michael Mitterreiter & David Saunders & Luis Seco and Rudi Zagst - 2317310 Reward–risk ratios
by Patrick Cheridito and Eduard Kromer - 2317315 When you hedge discretely: optimization of the Sharpe ratio for the Delta-hedging strategy under discrete hedging and transaction costs
by Artur Sepp - 2317325 Hedge fund replication: putting the pieces together
by Vincent Weber & Florian Peres - 2317328 Credit portfolio management in a turning rates environment
by Arthur M. Berd & Elena Ranguelova and Antonio Baldaque da Silva - 2334834 Optimal starting times, stopping times and risk measures for algorithmic trading: target close and implementation shortfall
by Mauricio Labadie and Charles-Albert Lehalle - 2334845 Are commodity futures a good hedge against inflation?
by Laura Spierdijk and Zaghum Umar - 2334849 Optimal diversification
by George Chacko & Robert McMillan and Karl Neumar - 2334860 Robust Bayesian allocation
by Attilio Meucci - 2349968 Two centuries of trend following
by Yves Lempérière & Cyril Deremble & Philip Seager & Marc Potters and Jean-Philippe Bouchaud - 2349969 Risk–return-efficient target-volatility strategies
by Guido Giese - 2349972 Confidence intervals for the Kelly criterion
by Euan C. Sinclair - 2349975 The Bayesian roots of risk balancing
by Hakan Kaya - 2364669 Momentum strategies with the L1 filter
by Tung-Lam Dao - 2364679 Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
by Cheng-Ran Du and Tim Brunne - 2364683 Quantifying irrational sentiment
by Todd Feldman - 2364705 The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
by Floyd B. Hanson - 2385889 The stock–bond correlation
by Nic Johnson & Vasant Naik & Sebastien Page & Niels Pedersen and Steve Sapra - 2385891 Factor models for alpha streams
by Zura Kakushadze - 2385895 Intertemporal risk parity: a constant volatility framework for factor investing
by Romain Perchet & Raul Leote de Carvalho and Pierre Moulin - 2385898 The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets
by Vitali Alexeev and Francis Tapon - 2400584 Does Google Trends data contain more predictability than price returns?
by Damien Challet and Ahmed Bel Hadj Ayed - 2400600 A supply-and-demand based price model for financial assets
by Takashi Kanamura - 2400603 Bootstrapping the relative performance of yield curve strategies
by Razvan Pascalau and Ryan Poirier - 2400605 Navigating risk cycles
by Joakim Agerback and Tor Gudmundsen Sinclair - 2410447 Notes on alpha stream optimization
by Zura Kakushadze - 2410452 Trend detection under erroneous observations: application to quantitative financial strategies
by Guillaume Bernis and Simone Scotti - 2414280 A combined regime-switching and Black–Litterman model for optimal asset allocation
by Edwin O. Fischer and Michael Murg - 2414289 Indexing multi-asset solutions
by Xiaowei Kang & Aye Soe and Keith Loggie - 2425997 A unified framework for risk-based investing
by Emmanuel Jurczenko & Thierry Michel and Jérôme Teiletche - 2426601 The impact of visible and dark orders
by Nataliya Bershova & Christopher R. Stephens and Henri Waelbroeck - 2427156 Optimal betting sizes for the game of blackjack
by Ralph Vince and Qiji Zhu - 2427649 Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
by Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Qunzhi Zhang - 2437657 Diffusing explosive portfolio performance evaluation of high frequency traders
by G. Charles-Cadogan - 2437666 The dynamics of energy futures and equity sectors: evidence from the United States and Canada
by K. Smimou - 2437672 Under the radar: structural alpha in the small-cap equity market
by Elena Ranguelova & Jonathan Feeney & Yi Lu - 2448390 Do quantitative country selection strategies really work?
by Adam Zaremba & Przemysław Konieczka - 2448415 Stock selection with principal component analysis
by Alethea Rea & Bill Rea - 2448480 Optimal trading trajectories for algorithmic trading
by M. Valentina Vega & Gabriel H. Tucci - 2448506 Performance versus turnover: a story by 4000 alphas
by Zura Kakushadze & Igor Tulchinsky - 2454599 Reconciling factor optimization with portfolio constraints
by Boris Gnedenko & Igor Yelnik - 2456447 Optimal trading with alpha predictors
by Filippo Passerini & Samuel Vazquez - 2458195 Portfolio insurance with adaptive protection
by François Soupé & Thomas Heckel & Raul Leote de Carvalho - 2461640 The excess returns of “quality†stocks: a behavioral anomaly
by do not use & Stefano Ciliberti & Augustin Landier & Guillaume Simon & David Thesmar - 2467311 Fractional Kelly strategies with low-risk stocks
by Wai Mun Fong - 2467434 The effect of market conditions on forward-looking portfolio performance
by Binam Ghimire & Leigh Perrott & Dipesh Karki - 2469887 Multifactor risk models and heterotic CAPM
by Zura Kakushadze - 2475967 Equal risk allocation with carry, value and momentum
by Boris Gnedenko & Igor Yelnik - 2475975 Insights into robust optimization: decomposing into mean–variance and risk-based portfolios
by Thomas Heckel & Raul Leote de Carvalho - 2478867 On optimizing risk exposures with trend-following strategies in currency overlay portfolios
by Kai-Hong Tee - 2478869 Optimal closing-price strategy: peculiarities and practicalities
by Yu Hang (Gabriel) Kan & Sanghyun Park - 3912131 Statistical risk models
by Zura Kakushadze & Willie Yu - 3914131 Investing across periods with Mahalanobis distances
by Edouard Sénéchal & Brian Singer - 3916836 Risk constraints for portfolio optimization with fixed-fee transaction cost
by Michael J. Hirsch & Nicole Navarro - 3916861 Interconnectedness risk and active portfolio management
by Eduard Baitinger & Jochen Papenbrock - 5293476 Agnostic risk parity: taming known and unknown unknowns
by Raphael Benichou & Yves Lempérière & Emmanuel Sérié & Julien Kockelkoren & Philip Seager & do not use & Marc Potters - 5293501 Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach
by Ricky Alyn Cooper & Marat Molyboga - 5293511 Correctness of backtest engines
by Robert Löw & Stanislaus Maier-Paape & Andreas Platen - 5293521 Statistical testing of DeMark technical indicators on commodity futures
by Marco Lissandrin & Donnacha Daly & Didier Sornette - 5330261 Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis
by Wai Mun Fong - 5330276 Enhancing enterprise value by trading options
by Dilip B. Madan & Yazid M. Sharaiha - 5330296 Leverage and uncertainty
by Mihail Turlakov - 5331631 An uncertainty quantification framework for the achievability of backtesting results of trading strategies
by Raymond Hon-Fu Chan & Alfred Ka-Chun Ma & Lanston Lane-Chun Yeung - 5360551 Portfolio concentration and equity market contagion: evidence on the “flight to familiarity†across indexing methods
by Lars Kaiser - 5363301 Efficient trading in taxable portfolios
by Sanjiv R. Das & Dennis Yi Ding & Vincent Newell & Daniel N. Ostrov - 5376711 Speed and dimensions of trading
by Boris Gnedenko & Igor Yelnik - 5376716 Tail protection for long investors: trend convexity at work
by Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemperiere & Jean-Philippe Bouchaud & Marc Potters - 5443211 A risk-based approach to construct multi asset portfolio solutions
by Peter Warken & Christian Hille - 5460971 Statistics of VIX futures and their applications to trading volatility exchange-traded products
by Marco Avellaneda & Andrew Papanicolaou - 5472741 The Kelly criterion in portfolio optimization: a decoupled problem
by Zachariah Peterson - 5472761 Reflections on recent volatility
by Euan Sinclair - 5937431 Why are investors’ mutual fund market allocations far from optimal?
by Ricardo Laborda & Ramiro Losada - 5988351 Value-ranked equity portfolios via entropy pooling
by Josef Zorn - 5988361 Systematic testing of systematic trading strategies
by Kovlin Perumal & Emlyn Flint - 6146046 The optimal investment problem in stochastic and local volatility models
by Vladimir Piterbarg - 6208926 Winning investment strategies based on financial crisis indicators
by Antoine Kornprobst - 6208956 Extending risk budgeting for market regimes and quantile factor models
by Emlyn Flint & Simon du Plooy - 6466086 Beta hedging: performance measures, momentum weighting and rebalancing effects
by Daniel Nadler & Anatoly B. Schmidt - 6568976 Does international stock index arbitrage exist?
by Gunter Meissner & Olivia Ng & Pedro Villarreal - 6569011 Tail-risk mitigation with managed volatility strategies
by Anna A. Dreyer & Stefan Hubrich - 6885376 Factor investing: get your exposures right!
by François Soupé & Xiao Lu & Raul Leote de Carvalho - 6922576 Dynamic volatility management: from conditional volatility to realized volatility
by Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu - 6983576 Can shorting leveraged exchange-traded fund pairs be a profitable trade?
by George Tsalikis & Simeon Papadopoulos - 7030711 Factor-based tactical bond allocation and interest rate risk management
by Andreas Thomann - 7061731 A consistent investment strategy
by Xianzhe Chen & Weidong Tian - 7418516 Should we invest more in multinational companies when domestic markets decline?
by Martha O'Hagan-Luff & Jenny Berrill & Brian Lucey - 7469181 Connecting equity and foreign exchange markets through the WM “Fix†: a trading strategy
by Arnav Sheth & Keisuke Teeple - 7471326 Portfolio management of Commodity Trading Advisors with volatility-targeting
by Marat Molyboga - 7471356 The pricing of firm-specific risk in emerging markets
by Hilal Anwar Butt & Mohsin Sadaqat - 7650071 Optimal dynamic strategies on Gaussian returns
by Nick Firoozye & Adriano S. Koshiyama - 7650076 Is trading indicator performance robust? Evidence from scenario building
by Andreas Thomann - 7657681 Eigenportfolios of US equities for the exponential correlation model
by Ali N. Akansu & Anqi Xiong - 7706871 Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
by Jivendra K. Kale & Tee Lim - 7721271 Strangle to resuscitate: evidence from India
by Peeyush Bangur - 7721276 What’s so special about time series momentum?
by Haotian Cai & Anatoly B. Schmidt - 7744616 Realized profits on the Stationary Offshore Ocean Economy: an analysis
by Jeremy Van Dyken & Houshang Habibniya & Maia Chiabrishvili - 7813731 Sign prediction and sign regression
by Weige Huang - 7820081 The price of liquidity in the reinsurance of fund returns
by David Saunders & Luis Seco & Markus Senn - 7826931 The price of Bitcoin: GARCH evidence from high-frequency data
by Pavel Ciaian & d’Artis Kancs & Miroslava Rajcaniova - 7826936 Portfolio allocation based on expected profit and loss measures
by J. H. Venter & P. J. de Jongh - 7826941 Quant investing in cluster portfolios
by Ali N. Akansu & Marco Avellaneda & Anqi Xiong - 7827951 Uncertain risk parity
by Anish R. Shah - 7829491 What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
by Adam Zaremba & Nusret Cakici - 7830136 Corporate equity performance and changes in firm characteristics
by Brian Blank & Cole McLemore - 7880546 Correlation diversified passive portfolio strategy based on permutation of assets
by Yutaka Sakurai & Yusuke Yuki & Ryota Katsuki & Takashi Yazane & Fumio Ishizaki - 7882166 Cryptocurrency versus other financial instruments: how a small market affects a large market
by Anna Szczepańska-Przekota - 7898476 Strong-hand conjecture: agent-based numerical simulation
by Marek KaraÅ› & Anna Serwatka - 7902976 Forecasting volatility and market returns using the CBOE Volatility Index and its options
by Spencer T. Stanley & William J. Trainor Jr. - 7926581 A practitioner’s view of the long-term and recent performance of multifactor investment strategies
by Ding Liu - 7926591 Performance attribution for multifactorial equity portfolios
by Frédéric Abergel & Thomas Heckel - 7936101 Is factor momentum greater than stock momentum?
by Antoine Falck & Adam Rej & David Thesmar - 7943491 Abnormal returns and stock price movements: some evidence from developed and emerging markets
by Guglielmo Maria Caporale & Alex Plastun - 7947016 Portfolio rebalancing and seasonality in Canadian financial markets
by George Athanassakos - 7948446 The risk-reversal premium
by Blair Hull & Euan Sinclair - 7949201 Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
by Hans Philipp Wanger - 7950036 Trading strategies and weekly anomalies in the stock market: Mexico, Indonesia, Nigeria and Turkey
by Ruchika Gahlot - 7952741 Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
by Lucas Baynes & Giulio Renzi-Ricci - 7953246 A novel derivation and interpretation of the Kelly criterion
by Andreas Kull - 7954508 Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
by Pierre Trecourt & Florian Peres & Sameer Singh - 7954903 Islamic mutual funds: contracts, structures, screening and pricing mechanisms
by Abubakar Suleiman & Burhan Uluyol & Metin Toprak - 7954942 Is volatility a friend or enemy of your stock and fund investments?
by Longchong Chen & Jun Gao & Sheng Zhu - 7955230 Enhanced expected impact cost model under abnormally high volatility
by Gabriel Tucci & Sameer Jain & Aiying Zhang & Wenting Ge - 7955561 Dynamic signal selection strategies
by Dilip B. Madan & Yazid M. Sharaiha & Pål Sundsøy - 7955605 Dynamic rebalancing of a risk parity investment portfolio
by Yixi Ning & Sean Yang & Wangzhi Zheng - 7955607 Pricing options using expected profit and loss measures
by J. H. Venter & P. J. de Jongh - 7957114 Trading robots and financial markets trading solutions: the role of experimental economics
by Bianca Benedicto & Mara Madaleno & Anabela Botelho - 7957165 Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
by Karim Henide - 7957246 The realized local volatility surface
by Yuming Ma & Shintaro Sengoku & Kazuhide Nakata - 7957940 What have we learned from 20 million historical US stock data?
by Mostafa K. Ardakani - 7957951 An empirical study of the contrarian strategy against US equities in the Japanese market
by Yasuhiro Iwanaga - 7958098 Implementing mean–variance spanning tests with short-sales constraints
by Farid AitSahlia & Thomas Doellman & Sabuhi Sardarli - 7958178 Integrated stock–bond portfolio management
by Xiaochuan Pang & Shuping Wu & Shushang Zhu - 7958294 Optimal trend-following portfolios
by Sebastien Valeyre - 7958595 Assessing the potential for asset diversification: an analysis of Brazilian stock indexes, Bitcoin, gold, crude oil and exchange rates
by Ahmad Monir Abdullah & Hamdy Abdullah & Norazlan Alias & Mara Ridhuan Che Abdul Rahman - 7959438 Design risk: the curse of constant proportion portfolio insurance
by Raquel M. Gaspar & João B. Sousa - 7959443 Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis
by Deborah Miori & Mihai Cucuringu - 7959488 Examining sustainability investments and financial performance of football clubs: an empirical analysis
by Lazaros Ntasis & Athanasios Strigas - 7959635 Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
by Simon Ulmer & Patrick Schmid & Andreas Widenhorn - 7959658 Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
by Versha Patel & S Amilan & P Vairasigamani - 7959726 An entropy-based class of moving averages
by Andreas Kull - 7959857 Formulations to select assets for constructing sparse index tracking portfolios
by Yutaka Sakurai & Daiki Wakabayashi & Fumio Ishizaki - 7959862 Delving into the investment psyche: investigating the determinants influencing individual investors’ decision-making
by Rajesh Raut & Harsha Thorve & Amruta Deshpande & Natashaa Kaul - 7959887 Unaligned exchange traded funds: risk-adjusted performance and market-timing skills
by D. K. Malhotra & Philip Russel - 7960472 Assessing the efficiency of pure-play internet banks in South Korea, Japan and China with data envelopment analysis
by Hüseyin Öcal & Erdem Bağcı & Anton Abdulbasah Kamil - 7960527 Using option prices to trade the underlying asset
by J. H. Venter & P. J. de Jongh & Eduard Pieterse - 7960601 Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
by Boubacar Sidibe & Christophe de La Bastide & Florian Peres