Related papers: Factor endowment -- commodity output relationships…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where $\Lop\Lo/N^\alpha$ is…
The roles played by decision factors in making complex subject are decisions are characterized by how these factors affect the overall decision. Evidence that partially matches a factor is evaluated, and then effective computational rules…
We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
Gradient descent for matrix factorization exhibits an implicit bias toward approximately low-rank solutions. While existing theories often assume the boundedness of iterates, empirically the bias persists even with unbounded sequences. This…
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to their external trade patterns (as commodities' net exporters…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models.…
In this paper, we first give a necessary and sufficient condition for a factor code with an unambiguous symbol to admit a subshift of finite type restricted to which it is one-to-one and onto. We then give a necessary and sufficient…
Researchers using instrumental variables to investigate ordered treatments often recode treatment into an indicator for any exposure. We investigate this estimand under the assumption that the instruments shift compliers from no treatment…
Choo-Siow (2006) proposed a model for the marriage market which allows for random identically distributed noise in the preferences of each of the participants. The randomness is McFadden-type, which permits an explicit resolution of the…
Modeling wind speed is one of the key element when dealing with the production of energy through wind turbines. A good model can be used for forecasting, site evaluation, turbines design and many other purposes. In this work we are…
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…