This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash against quantitative models in aftermath of the Global...

Early in the 1950s, academics and investors started proposing in earnest a variety of summary statistics to capture in a single number the quality of an investment. Sharpe Ratio became the most commonly used, and it's an important metric, but maximizing Sharpe Ratio doesn't always maximize...

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...

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

This study provides formal theoretical evidence for nesting of probability measures that are generated by risk aversion in probability measures that are generated by risk seeking preferences. In presence of highlighted nesting, conditional on independent parameterization of expectations...

IC (Information Coefficient) is a widely and deeply accepted measure in active portfolio management.This paper investigates its probability properties that requires basic and in-depth research. First, this paper brings a new perspective on IC: a linear operator of a random unit vector generated...

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios. However, the performance of risk targeting varies...

In this paper, we show empirically that Active Risk Budgeting is a superior portfolio construction methodology to the tangency portfolio method postulated by Mean Variance Optimization. We compare the performance of Active Risk Budgeting and Tangency Portfolio in a series of systematic...

We present a portfolio construction methodology for futures strategies that incorporates active trading and also borrows salient features from the risk-parity methodology. We document the evolution of expected risk and return based portfolio construction methodologies and propose a new...

Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the...