Imagen de Portada

Is the annualized compounded return of Medallion over 35%?

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Guo, Shuxin, Liu, Qiang
Formato:	Preprint
Publicado:	2024
Materias:	Portfolio Management General Finance Risk Management
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Data-generating process and time-series asset pricing
por: Guo, Shuxin, et al.
Publicado: (2024)

Maximum drawdown, recovery, and momentum
por: Choi, Jaehyung
Publicado: (2014)

Interpretable Systematic Risk around the Clock
por: He, Songrun
Publicado: (2026)

Theoretical Frameworks for Integrating Sustainability Factors into Institutional Investment Decision-Making
por: Alhamis, Innocentus
Publicado: (2025)

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

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
por: Chen, Zhi, et al.
Publicado: (2025)

Optimal mutual insurance against systematic longevity risk
por: Armstrong, John, et al.
Publicado: (2024)

Optimal payoff under Bregman-Wasserstein divergence constraints
por: Pesenti, Silvana M., et al.
Publicado: (2024)

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

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

The Interplay between Utility and Risk in Portfolio Selection
por: Baggiani, Leonardo, et al.
Publicado: (2025)

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

Utility Maximisation with Model-independent Constraints
por: Cox, Alexander M. G., et al.
Publicado: (2025)

Risk Budgeting Allocation for Dynamic Risk Measures
por: Pesenti, Silvana M., et al.
Publicado: (2023)

Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
por: Pesenti, Silvana M., et al.
Publicado: (2026)

A Three--Dimensional Efficient Surface for Portfolio Optimization
por: Qiu, Yimeng
Publicado: (2026)

To VaR, or Not to VaR, That is the Question
por: Olkhov, Victor
Publicado: (2021)

The Elasticity of Quantitative Investment
por: Davis, Carter
Publicado: (2023)

Correlation without Factors in Retail Cryptocurrency Markets
por: Giller, Graham L.
Publicado: (2024)

Optimal Transport Divergences induced by Scoring Functions
por: Pesenti, Silvana M., et al.
Publicado: (2023)

Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
por: Hu, Zeyun, et al.
Publicado: (2025)

Forecasting stock return distributions around the globe with quantile neural networks
por: Barunik, Jozef, et al.
Publicado: (2024)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
por: Li, Chi-Lin, et al.
Publicado: (2023)

A Novel approach to portfolio construction
por: Di Matteo, T., et al.
Publicado: (2026)

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

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

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

Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency
por: Wang, Wei, et al.
Publicado: (2024)

Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails
por: Jha, Ayush, et al.
Publicado: (2025)

Causality between investor sentiment and the shares return on the Moroccan and Tunisian financial markets
por: Mounira, Chniguir, et al.
Publicado: (2023)

Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns
por: Gharanchaei, Maysam Khodayari, et al.
Publicado: (2024)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
por: Zhang, Panpan, et al.
Publicado: (2023)

Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
por: Singha, Mainak, et al.
Publicado: (2025)

Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
por: Rosenzweig, Jan
Publicado: (2026)

On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
por: Colaneri, Katia, et al.
Publicado: (2024)

Worst-case values of target semi-variances with applications to robust portfolio selection
por: Cai, Jun, et al.
Publicado: (2024)

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
por: Kothari, Saumya, et al.
Publicado: (2024)

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
por: Lelong, Jérôme, et al.
Publicado: (2024)

A Multi-step Approach for Minimizing Risk in Decentralized Exchanges
por: Di Nosse, Daniele Maria, et al.
Publicado: (2024)

Class of topological portfolios: Are they better than classical portfolios?
por: Goel, Anubha, et al.
Publicado: (2026)