Related papers: The lexical ratio: A new perspective on portfolio …
Large language models (LLMs) have demonstrated promising performance in various financial applications, though their potential in complex investment strategies remains underexplored. To address this gap, we investigate how LLMs can predict…
This work introduces the first small-loss and gradual-variation regret bounds for online portfolio selection, marking the first instances of data-dependent bounds for online convex optimization with non-Lipschitz, non-smooth losses. The…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
The era of Large Language Models (LLMs) raises new demands for automatic evaluation metrics, which should be adaptable to various application scenarios while maintaining low cost and effectiveness. Traditional metrics for automatic text…
The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio problem based on finding the weights as budget shares that…
This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combine sentiment signals from financial news with traditional…
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of…
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both…
Investment returns naturally reside on irregular domains, however, standard multivariate portfolio optimization methods are agnostic to data structure. To this end, we investigate ways for domain knowledge to be conveniently incorporated…
We study continuous-time mean--variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, yet the coefficients of these processes are unknown. Based on…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
Natural language processing (NLP) has been widely used in quantitative finance, but traditional methods often struggle to capture rich narratives in corporate disclosures, leaving potentially informative signals under-explored. Large…
LLMs have shown strong performance across diverse financial tasks, yet portfolio management (PM), a critical financial decision-making task, remains poorly benchmarked. Existing benchmarks exhibit two main gaps: they ignore cross-asset…
We have developed a novel risk management measure called the concentration risk indicator (CRI). The CRI has been created to address drawbacks with prevailing methodologies and to supplement existing methods. Modified and adapted from the…
The integration of Artificial Intelligence (AI) techniques, particularly large language models (LLMs), in finance has garnered increasing academic attention. Despite progress, existing studies predominantly focus on tasks like financial…
We present a novel statistical framework for analyzing stereotypes in large language models (LLMs) by systematically estimating the bias and variation in their generation. Current alignment evaluation metrics often overlook stereotypes'…
This paper introduces a methodology leveraging Large Language Models (LLMs) for sector-level portfolio allocation through systematic analysis of macroeconomic conditions and market sentiment. Our framework emphasizes top-down sector…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the…