no code implementations • 11 Mar 2025 • Aleš Černý, Johannes Ruf, Martin Schweizer
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities.
no code implementations • 16 Jul 2023 • Johannes Ruf
In July 2023, Nasdaq announced a `Special Rebalance' of the Nasdaq-100 index to reduce the index weights of its large constituents.
no code implementations • 4 Aug 2022 • Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise.
no code implementations • ICLR Workshop Rethinking_ML_Papers 2021 • Putra Manggala, Tigran Atoyan, Gracia Samosir, Jan Varsava, Johannes Ruf
Researchers often find relevant articles by looking at the references section.
2 code implementations • 19 Apr 2020 • Johannes Ruf, Weiguan Wang
We study neural networks as nonparametric estimation tools for the hedging of options.
no code implementations • 30 Mar 2020 • Martin Larsson, Johannes Ruf
We characterize the minimal time horizon over which any equity market with $d \geq 2$ stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the market portfolio.
no code implementations • 8 Dec 2019 • Aleš Černý, Johannes Ruf
The paper introduces a simple way of recording and manipulating general stochastic processes without explicit reference to a probability measure.
no code implementations • 13 Nov 2019 • Johannes Ruf, Weiguan Wang
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s.
