Article ID: b6a3b4694a8c50f05cac3b9f700fda3922d51f6e610b4b8712ca42d89ef149de
Source ID: regulatory:risk.net
Published At: -
Extraction Method: trafilatura
URL: https://www.risk.net/cutting-edge/investments
Body Text
Investments Valuing private equity analytically A framework that includes liquidity and market completeness for PE valuation Optimising broker evaluation through intraday modelling of execution cost A method to assess brokers’ performance via their market impact is presented Supervised similarity for high-yield bonds Quantum cognition ML is used to identify tradable alternatives for high-yield corporate bonds Gaussian GenAI: synthetic market data generation A method to generate financial time series with mixture models is presented Estimating mean reversions in interest rate models The speed of factors’ mean reversion in rate models is estimated Overcoming Markowitz’s instability with hierarchical risk parity Portfolio optimisation via HRP provides stable and robust weight estimates Quantum two-sample test for investment strategies Quantum algorithms display high discriminatory power in the classification of probability distributions Choosing trading strategies using importance sampling The sampling technique is more efficient than A-B testing at comparing decision rules Quantum cognition machine learning: financial forecasting A new paradigm for training machine learning algorithms based on quantum cognition is presented A hard exit threshold strategy for market-makers A closed-form solution to derive optimal stop-loss and profit-taking levels is presented Harvesting the FX skew premium Observing the vol-of-vol parameter may reveal a skew premium in FX markets Dynamic margining long/short equity trading strategies A repo haircut model extends a previous solution for long-only strategies The cost of mis-specifying price impact Expected returns can be significantly affected by the wrong use of impact models Optimal allocation to cryptocurrencies in diversified portfolios Asset allocation methods assign positive weights to cryptos in diversified portfolios Getting more for less: better A / B testing via causal regularisation A causal machine learning algorithm is used to estimate trades’ price impact Fat tails and optimal LDI portfolios A portfolio optimisation technique for pension funds and insurance portfolios is presented Trading the vol-of-vol risk premium Applications of the vol-of-vol parameter for cross-asset derivatives are presented Asset allocation with inverse reinforcement learning Using reinforcement learning to help replicate asset managers' allocation strategy Sculpting implied volatility surfaces of illiquid assets From the stock cumulative distribution function an arbitrage-free volatility surface is derived Linking performance of vanilla options to the volatility premium A framework to account for vanilla options' performance in trading strategies is presented Optimal turnover, liquidity and autocorrelation A novel optimal execution approach via continuous-time stochastic processes is introduced
Metadata (JSON)
{
"score": 6.416666666666667
}