Related papers: Trading-profit attribution for the size factor
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…
We revisit the problem of fair clustering, first introduced by Chierichetti et al., that requires each protected attribute to have approximately equal representation in every cluster; i.e., a balance property. Existing solutions to fair…
Fairness of exposure is a commonly used notion of fairness for ranking systems. It is based on the idea that all items or item groups should get exposure proportional to the merit of the item or the collective merit of the items in the…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Traditional risk factors like beta, size/value, and momentum often lag behind market dynamics in measuring and predicting stock return volatility. Statistical models like PCA and factor analysis fail to capture hidden nonlinear…
The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…
Conventional Learning-to-Rank (LTR) methods optimize the utility of the rankings to the users, but they are oblivious to their impact on the ranked items. However, there has been a growing understanding that the latter is important to…
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading…
Fair re-ranking aims to redistribute ranking slots among items more equitably to ensure responsibility and ethics. The exploration of redistribution problems has a long history in economics, offering valuable insights for conceptualizing…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the…
Portfolio traders strive to identify dynamic portfolio allocation schemes so that their total budgets are efficiently allocated through the investment horizon. This study proposes a novel portfolio trading strategy in which an intelligent…
We consider the problem of online allocation subject to a long-term fairness penalty. Contrary to existing works, however, we do not assume that the decision-maker observes the protected attributes -- which is often unrealistic in practice.…
Strategic asset allocation requires an investor to select stocks from a given basket of assets. The perspective of our investor is to maximize risk-adjusted alpha returns relative to a benchmark index. Historical returns are used to provide…
We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an option like, asymmetric structure. The degree of asymmetry…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features…
We propose a novel conditional diffusion model for contextual portfolio optimization that learns the cross-sectional distribution of next-day stock returns conditioned on high-dimensional asset-specific factors. Our model leverages a…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…