In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

The first part of this thesis aims to analyse the weaknesses of capitalization-based indexing methods and compares different weighting strategies, which are dedicated to alleviate the conspicuous flaws. At the present day, these alternative portfolio construction schemes are popularly labelled...

We analyze the dependency of the optimal hedge and its efficiency on the correlation between the asset to be hedged, and the hedge instrument. The optimal portion of the hedge instrument depends on this correlation, and on the ratio of the volatilities. Efficiency is defined as the percental...

We perform an empirical analysis of systematic trading strategies on options. Namely, we focus on strategies which sell out of the money (OTM) call options to harvest the premium, and buy downside protection through OTM puts. We compare the risk adjusted performance across different choices of...

We explore in this paper the use of deep signature models to predict equity financial time series returns. First, we use signature transformations to model the underlying shape of the input equity returns; further assuming the underlying shape remains the same, we predict future values based on...

This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset price dynamics are driven by money flows into the market from external investors, and their price impact. This leads to...

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk measure (UrM) which explicitly embeds relative valuation of any two assets. The formal theory shows the UrM is, in relation to either of conditional volatility (CoV) or...

The aim of this work is to analyze the so-called "Low Risk Effect" and the evolution of the risk-reward relationship in time. Perhaps one of the milestones of the whole modern finance has been the investigation and the debate about the positive relationship between risk and reward in asset...

We examine in this paper a critical question in finance: the use of large nonlinear over-parametrized models or simpler models to forecast financial time series and the balance between underfitting and overfitting, the bias-variance trade-off, and the absolute performance in the test set. The...

Scott Fawcett’s “Decade” system of golf decision-making is revolutionizing golf strategy. In this note, we describe its broad outlines and provide an illustrative case study. We also discuss some of the valuable lessons that equally pertain to sound investing as well. At the center of...