Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

In this study a financial market is conceived as a network where the securities are nodes and the links account for returns' correlations. We theoretically prove the negative relationship between the centrality of assets in this financial market network and their optimal weights under the...

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to passive investing. I introduce an asset allocation strategy which shifts portfolio weights based on simplistic stop rules. The two-asset (S&P...

The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate....

Macroeconomic data is often noisy, contradictory and lagging. These limitations render the data difficult to integrate into a robust quantitative investment strategy that generates excess returns. This paper outlines a new approach to macro investing that removes these inherent limitations in...

Investors are periodically challenged with this question: with funds ready to invest, but faced with a market that is generally perceived to be expensive, is it better to wait for a market correction before investing? Many investors are certain that a correction must be around the corner, and...

In this paper, we first develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of...

The first generation of indexing started with plain vanilla market-cap weighted indices. Based on the 1st generation of indexing, "smarter" approaches to equity beta were created, which are nowadays marketed as "Smart Beta" indices (2nd generation). Nevertheless these still exhibit severe...

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al. (2015) develop the theory of...