Technical paper/Investment
The effects of climate transition risk on an investment portfolio
The author proposes a means to value portfolios under a climate transition stress test, showing which sectors are likely to be more severely impacted by a transition to a net-zero economy.
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
The authors offer an estimate of how much incremental wind energy development could happen while avoiding inadequate investment incentives for wind and natural-gas-fired generation in day-ahead and real-time markets.
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompleteness”
The author put forwards a means to mitigate asset risk and valuation uncertainty risk which relies on investors conditioning valuations of new assets on a dynamically evolving intertemporal mechanism
On capital allocation under information constraints
This paper offers a portfolio optimization framework that uses return data to calculate an optimal capital allocation based on a Cobb–Douglas utility function.
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
An experimental study of capacity remuneration mechanisms in the electricity industry
The authors investigate the efficiency properties of energy market designs with regard new investments, reductions in unserved energy frequency and energy prices of a generic capacity remuneration mechanism impervious to the forward capacity market.
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
Dynamic rebalancing of a risk parity investment portfolio
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
Dynamic signal selection strategies
The authors use eight models of pairwise dependency to select predictors that offer a high level of dependency in stock returns.
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy
Corporate equity performance and changes in firm characteristics
The authors' findings affirm prior work illustrating the importance of profitability, size, liquidity, momentum and market returns, although we observe minimal evidence of the importance of investment in capital expenditures.
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
The pricing of firm-specific risk in emerging markets
This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets.
Dynamic volatility management: from conditional volatility to realized volatility
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
An alternative approach for the operational risk assessment of a new product
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.
Extending risk budgeting for market regimes and quantile factor models
In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.
Asymmetry herding behavior of real estate investment trusts: evidence from information demand
This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index.
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Technical uncertainty in real options with learning
This paper introduces a new approach for incorporating uncertainty in the decision to invest in a commodity reserve.