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Every paper Pith has read. Search by title, abstract, or pith.
41 papers in q-fin.PM · page 1
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Risk-adjusted metrics favor professional forecasters
Quantifying the Risk-Return Tradeoff in Forecasting
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Dynamic multimodal constraints cut ESG tail pressure in portfolios
Beyond ESG Scores: Learning Dynamic Constraints for Sequential Portfolio Optimization
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Skew engineering limits downside more than upside to aid drawdown recovery
The Engineering of Skew: A Path-Dependent Framework for Asymmetric Volatility Management
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CRRA portfolio choice equals Rényi information projection
Single-Period Portfolio Selection via Information Projection
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CRRA portfolio selection equals Rényi information projection
Single-Period Portfolio Selection via Information Projection
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Point-curve objects improve asset selection for portfolios
Large-Scale Asset Selection via Metric Dependence with Enriched High Frequency Information
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Intraday risk curves boost asset selection
Large-Scale Asset Selection via Metric Dependence with Enriched High Frequency Information
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SPO portfolio models inflate forecasts through decision ranking
Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization
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Worst-case sampler perturbations certify population performance
Sampler-Robust Optimization under Generative Models
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S&P 500 rose but levered ETFs fell
A Levered ETF Anomaly Explained
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MPC beats reactive budgeting only with predictable return models
Learning to Spend: Model Predictive Control for Budgeting under Non-Stationary Returns
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LLM agents find crypto factors with 44.55% out-of-sample returns
From Hypotheses to Factors: Constrained LLM Agents in Cryptocurrency Markets
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Moderate reallocations capture most hindsight budget gains
Auditing Marketing Budget Allocation with Hindsight Regret
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Affine-normal descent scales higher-moment portfolios to thousands of assets
Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
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CRISP beats HRP and Markowitz in signal-aware portfolio tests
Beyond De Prado and Cotton: Hierarchical and Iterative Methods for General Mean-Variance Portfolios
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VC deal correlations boost extreme successes without raising averages
Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
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Quantile battery trades miss price time links and honest forecast rewards
Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
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LLM edge filtering lifts cross-stock Sharpe from 0.74 to 0.82
Cross-Stock Predictability via LLM-Augmented Semantic Networks
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Backtests reflect launch regimes more than skill
Evaluating Structured Strategy Backtests: Peer Benchmarks, Regime Timing, and Live Performance
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Lasso screening before optimization aids high-dimensional portfolios
Post-Screening Portfolio Selection
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LLM multi-agent picks beat S&P 500 benchmark by over 1% monthly
Signal or Noise in Multi-Agent LLM-based Stock Recommendations?
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Larger feature spaces uncover sparser priced risks
The Virtue of Sparsity in Complexity
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Correlation tree allocates weights for signed long-short portfolios
Topological Risk Parity
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Duality turns benchmarked risk-sensitive portfolios into explicit LQG games
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
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Macro news jumps carry the highest risk premium
Interpretable Systematic Risk around the Clock
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Risk constraint leaves Kelly active set unchanged
Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
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Temperature anomalies cut returns in most equity sectors
Temperature Anomalies and Climate Physical Risk in Portfolio Construction
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Investing growth maximization reduces to minimizing divergence
Investing Is Compression
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Risk contribution splits into inherent volatility and correlation components
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
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Global AR(1) plus local residuals lifts panel forecast R² by 0.047
Global Persistence, Local Residual Structure: Forecasting Heterogeneous Investment Panels
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Worst historical regime sets floor on strategy durability
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
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Recurrent nets approximate optimal DCVaR portfolio policies
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
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For weighted exponential utilities
$\alpha$-robust utility maximization with intractable claims: A quantile optimization approach
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Discretization yields strong HJB solution for ratcheted dividends with injections
Dividend ratcheting and capital injection under the Cram\'er-Lundberg model: Strong solution and optimal strategy
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Neural students match CVaR teacher with lower turnover under scarce labels
Portfolio Optimization Proxies under Label Scarcity and Regime Shifts via Bayesian and Deterministic Students under Semi-Supervised Sandwich Training
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Wealth tax shifts drifts uniformly but loses neutrality under return heterogeneity
Heterogeneous Returns and Wealth Tax Neutrality: A Fokker-Planck Framework
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Matching rates and uniform wealth assessment preserve portfolio neutrality
Flow Taxes, Stock Taxes, and Portfolio Choice: A Generalised Neutrality Result
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AI agents autonomously create signals for 3.11 Sharpe equity portfolios
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
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SGD neural weights encode portfolio wealth spectra
Spectral Portfolio Theory: From SGD Weight Matrices to Wealth Dynamics
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Wealth tax preserves neutrality via uniform drift shift
Wealth Taxation as a Drift Modification: A Fokker-Planck Approach to Tax Neutrality
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Wealth tax neutrality extends to stochastic volatility
Extensions to the Wealth Tax Neutrality Framework
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Wealth tax leaves asset prices and portfolios unchanged
Asset Returns, Portfolio Choice, and Proportional Wealth Taxation
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Entropy affects only variance in Bayesian portfolio control
Entropy Regularization under Bayesian Drift Uncertainty