Cover Image

Randomized Control in Performance Analysis and Empirical Asset Pricing

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Bachelard, Cyril, Chalkis, Apostolos, Fisikopoulos, Vissarion, Tsigaridas, Elias
Format:	Preprint
Published:	2024
Subjects:	Portfolio Management Computational Geometry Computational Finance G.3
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice
by: Huh, Jeonggyu, et al.
Published: (2025)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

Hopfield Networks for Asset Allocation
by: Nicolini, Carlo, et al.
Published: (2024)

Application of Deep Learning for Factor Timing in Asset Management
by: Panda, Prabhu Prasad, et al.
Published: (2024)

A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation
by: Peña, José-Manuel, et al.
Published: (2023)

Conditional inference on the asset with maximum Sharpe ratio
by: Pav, Steven E.
Published: (2019)

Stochastic Discount Factors with Cross-Asset Spillovers
by: Avramov, Doron, et al.
Published: (2026)

Predictive Power of LLMs in Financial Markets
by: Shi, Jerick, et al.
Published: (2024)

Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)
by: Zhu, Jiahao, et al.
Published: (2024)

Sizing the bets in a focused portfolio
by: Vukcevic, Vuko, et al.
Published: (2024)

Extracting Alpha from Financial Analyst Networks
by: Gorduza, Dragos, et al.
Published: (2024)

Finding Near-Optimal Portfolios With Quality-Diversity
by: Gašperov, Bruno, et al.
Published: (2024)

DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction
by: Zhong, Jianyuan, et al.
Published: (2024)

Black-Litterman and ESG Portfolio Optimization
by: Alpern, Aviv, et al.
Published: (2025)

Adaptive and Regime-Aware RL for Portfolio Optimization
by: Raj, Gabriel Nixon
Published: (2025)

Portfolio Preference Elicitation in Institutional Crossing Markets
by: Hwang, Yoontae
Published: (2026)

FinReflectKG: Agentic Construction and Evaluation of Financial Knowledge Graphs
by: Arun, Abhinav, et al.
Published: (2025)

Deep Declarative Risk Budgeting Portfolios
by: Parra-Diaz, Manuel, et al.
Published: (2025)

Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization
by: Wang, Yi, et al.
Published: (2026)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Data-Driven Merton's Strategies via Policy Randomization
by: Dai, Min, et al.
Published: (2023)

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
by: Sovbetov, Yhlas
Published: (2025)

Dynamic Factor Allocation Leveraging Regime-Switching Signals
by: Shu, Yizhan, et al.
Published: (2024)

New approximate stochastic dominance approaches for Enhanced Indexation models
by: Cesarone, Francesco, et al.
Published: (2024)

Robust Asset-Liability Management
by: de Vries, Tjeerd, et al.
Published: (2023)

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
by: Dhandapani, Vikranth Lokeshwar, et al.
Published: (2024)

Potential Customer Lifetime Value in Financial Institutions: The Usage Of Open Banking Data to Improve CLV Estimation
by: de Brito, João B. G., et al.
Published: (2025)

A Geometric Approach To Asset Allocation With Investor Views
by: Antonov, Alexandre V., et al.
Published: (2024)

Can a GPT4-Powered AI Agent Be a Good Enough Performance Attribution Analyst?
by: de Melo, Bruno, et al.
Published: (2024)

Portfolio management using graph centralities: Review and comparison
by: Arslan, Bahar, et al.
Published: (2024)

Geometric Deep Learning for Realized Covariance Matrix Forecasting
by: Bucci, Andrea, et al.
Published: (2024)

Market Reactions and Information Spillovers in Bank Mergers: A Multi-Method Analysis of the Japanese Banking Sector
by: Wang, Haibo, et al.
Published: (2025)

Sparse Index Tracking: Simultaneous Asset Selection and Capital Allocation via $\ell_0$-Constrained Portfolio
by: Yamagata, Eisuke, et al.
Published: (2023)

Artificial Intelligence-based Analysis of Change in Public Finance between US and International Markets
by: Panda, Kapil
Published: (2023)

Accelerated Portfolio Optimization and Option Pricing with Reinforcement Learning
by: Keramati, Hadi, et al.
Published: (2025)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
by: Arzel, Jules, et al.
Published: (2026)

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
by: Deng, Qi, et al.
Published: (2023)

Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
by: Lis, Szymon
Published: (2024)

Exploring Sectoral Profitability in the Indian Stock Market Using Deep Learning
by: Sen, Jaydip, et al.
Published: (2024)

A Deep Reinforcement Learning Framework For Financial Portfolio Management
by: Li, Jinyang
Published: (2024)