Related papers: Performance vs Persistence : Assess the alpha to i…

Performance attribution analysis, defined as the process of explaining the drivers of the excess performance of an investment portfolio against a benchmark, stands as a significant feature of portfolio management and plays a crucial role in…

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave…

This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target…

In the field of quantitative trading, it is common practice to transform raw historical stock data into indicative signals for the market trend. Such signals are called alpha factors. Alphas in formula forms are more interpretable and thus…

Banks' performance is an important topic for both professionals and researchers. Given the important literature on this subject, this paper aims to bring an up-to-date and organized review of literature on the determinants of banks…

The quality of a Bayes factor crucially depends on the number of regressors, the sample size and the prior on the regression parameters, and hence it has to be established in a case-by-case basis. In this paper we analyze the consistency of…

Retaining players over an extended period of time is a long-standing challenge in game industry. Significant effort has been paid to understanding what motivates players enjoy games. While individuals may have varying reasons to play or…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…

We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…

The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…

This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth,…

We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many…

Previous evolutionary studies demonstrated how evaluating evolving agents in variable environmental conditions enable them to develop solutions that are robust to environmental variation. We demonstrate how the robustness of the agents can…

In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital…

Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which…

We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…

In recent years, Evolutionary Algorithms (EAs) have frequently been adopted to evolve instances for optimization problems that pose difficulties for one algorithm while being rather easy for a competitor and vice versa. Typically, this is…

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…

The objective of this study is to examine empirically the impact of good corporate governance on financial performance of United Kingdom non-financial listed firms. Agency theory and stewardship theory serve as the bases of a conceptual…

We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…