Performance of renewable and non-renewable exchange-traded funds during heightened uncertainty
A Valadkhani - Applied Economics, 2023 - Taylor & Francis
This study adopts a composite threshold model that differentiates between the upside and
downside betas of the major US-based renewable and non-renewable exchange-traded …
downside betas of the major US-based renewable and non-renewable exchange-traded …
Generating drawdown-realistic financial price paths using path signatures
E Lemahieu, K Boudt, M Wyns - arXiv preprint arXiv:2309.04507, 2023 - arxiv.org
A novel generative machine learning approach for the simulation of sequences of financial
price data with drawdowns quantifiably close to empirical data is introduced. Applications …
price data with drawdowns quantifiably close to empirical data is introduced. Applications …
Determination of profit quantification on kelly betting based on relative entropy
ABSTRACT In 1956, John Kelly formulated an optimal strategy, the so-called 'Kelly criterion',
for bidding at each step of a favorable game when the odds and probability of winning are …
for bidding at each step of a favorable game when the odds and probability of winning are …
Portfolio management of commodity trading advisors with volatility targeting
M Molyboga - Journal of Investment Strategies (Forthcoming), 2018 - papers.ssrn.com
I show analytically that a volatility-targeted allocation methodology improves the risk-
adjusted performance of portfolios under a broad set of assumptions regarding the serial …
adjusted performance of portfolios under a broad set of assumptions regarding the serial …
Maximum Drawdown Distributions: The Cross-Asset Dimension
P Warken, A Kostyrina - The Journal of Investing, 2021 - pm-research.com
Potential severe drawdowns are a central concern of investors and pose a risk often
inadequately considered in the risk profiling or portfolio optimization process. In this article …
inadequately considered in the risk profiling or portfolio optimization process. In this article …
Maximum Cumulative Underperformance: A New Metric for Active Performance Management
K Khang, M Ertl - Available at SSRN, 2023 - papers.ssrn.com
We propose a new metric to monitor an active manager's performance:'maximum cumulative
underperformance'(MaxCU). MaxCU measures the maximum cumulative underperformance …
underperformance'(MaxCU). MaxCU measures the maximum cumulative underperformance …
[BOOK][B] Your Essential Guide to Quantitative Hedge Fund Investing
M Molyboga, LE Swedroe - 2023 - taylorfrancis.com
Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual
framework for understanding effective hedge fund investment strategies. The book offers a …
framework for understanding effective hedge fund investment strategies. The book offers a …
Влияние международной диверсификации на эффективность инвестиционного портфеля в рамках российского финансового рынка
СА Тимофеев, ЯН Нахимова - Финансы и кредит, 2021 - elibrary.ru
Предмет. Диверсифицированная индексная инвестиционная стратегия. Цели.
Разработка привлекательной инвестиционной стратегии в системе координат …
Разработка привлекательной инвестиционной стратегии в системе координат …
Portföy seçiminde expected maximum drawdown yaklaşımı: BIST100–S&P500 uygulaması
U Uyar, H Küçükşahin - 2017 - ceeol.com
In the study, the maximum drawdown criterion frequently used by investment specialists and
fund managers in the practice of risk factor measurement was carried out. Within the scope …
fund managers in the practice of risk factor measurement was carried out. Within the scope …