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Found 18 papers, 0 papers with code
The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
We show how the CRI can be easily applied to insurance risk and to any product portfolio mix.
The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments
The descriptions are intended to show how a risk parity based efficient frontier portfolio management engine - that caters to different risk appetites of investors by letting each individual investor select their preferred risk-return combination - can be created seamlessly on blockchain.
To Trade Or Not To Trade: Cascading Waterfall Round Robin Rebalancing Mechanism for Cryptocurrencies
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism.
Arguably Adequate Aqueduct Algorithm: Crossing A Bridge-Less Block-Chain Chasm
We consider the problem of being a cross-chain wealth management platform with deposits, redemptions and investment assets across multiple networks.
A Tale of Two Currencies: Cash and Crypto
We discuss numerous justifications for why crypto-currencies would be highly conducive for the smooth functioning of today's society.
Are Instrumental Variables Really That Instrumental? Endogeneity Resolution in Regression Models for Comparative Studies
We provide a justification for why, and when, endogeneity will not cause bias in the interpretation of the coefficients in a regression model.
Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets
We consider in detail an investment strategy, titled "The Bounce Basket", designed for someone to express a bullish view on the market by allowing them to take long positions on securities that would benefit the most from a rally in the markets.
Seven Survival Senses: Evolutionary Training makes Discerning Differences more Natural than Spotting Similarities
We discuss preliminary results from two experiments and put forth the notion that the development of sensory systems might be more geared towards discerning differences rather than for spotting similarities.
Imitation in the Imitation Game
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative.
Concepts, Components and Collections of Trading Strategies and Market Color
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies.
The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance
We formulate one methodology to put a value or price on knowledge using well accepted techniques from finance.
Artificial Intelligence: A Child's Play
We discuss the objectives of any endeavor in creating artificial intelligence, AI, and provide a possible alternative.
Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
To aid in this effort to extract meaning from chaos and to gain a better understanding of the relationships between financial variables, we summarize the application of the theoretical results from (Kashyap 2016b) to microstructure studies.
Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
Models to price long term loans in the securities lending business are developed.
Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India.
David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
We develop a fundamentally different stochastic dynamic programming model of trading costs.
Securities Lending Strategies: Exclusive Valuations and Auction Bids
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation.
