Related papers: Hedge Fund Index Rules and Construction

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models…

This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the…

The Bott index is an index that discerns among pairs of unitary matrices that can or cannot be approximated by a pair of commuting unitary matrices. It has been successfully employed to describe the approximate integer quantization of the…

The h-index can be used as a predictor of itself. However, the evolution of the h-index with time is shown in the present investigation to be dominated for several years by citations to previous publications rather than by new scientific…

We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions…

We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of…

Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…

The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns. Well-diversified equity portfolios are shown to…

In this paper, we design indices of economic fluctuation narratives derived from economic surveys. Companies, governments, and investors rely on key metrics like GDP and industrial production indices to predict economic trends. However,…

Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this…

We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even…

In July 2023, Nasdaq announced a `Special Rebalance' of the Nasdaq-100 index to reduce the index weights of its large constituents. A rebalance as suggested currently by Nasdaq index methodology may have several undesirable effects. These…

Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices…

We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time…

Derivative hedging and pricing are important and continuously studied topics in financial markets. Recently, deep hedging has been proposed as a promising approach that uses deep learning to approximate the optimal hedging strategy and can…

Market prediction plays a major role in supporting financial decisions. An emerging approach in this domain is to use graphical modeling and analysis to for prediction of next market index fluctuations. One important question in this domain…

Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence…

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…

Evaluating the importance of a network node is a crucial task in network science and graph data mining. H-index is a popular centrality measure for this task, however, there is still a lack of its interpretation from a rigorous statistical…

Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…