We describe a model that takes into account the tail dependence present in a large set of historical risk factor data using the modern concept of copulas. We extend the popular t-copula to obtain a new grouped t-copula which describes more accurately the dependence among risk factors of...

This thesis presents the development and implementation of a novel Deep Distributional Reinforcement Learning (DDRL) approach in the field of quantitative finance: the Distributional Soft Actor-Critic (DSAC) with an LSTM embedding. The model is built to further stabilize the performance of the...

We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe “style analysis” by introducing a constraint on the asset weights 1-norm and 2-norm. This constraint regularizes...

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

In the modern era of investing, diversification has become the cornerstone of most asset managers' investment philosophy. Within the equity space, the primary focus of most institutional investors has been to diversify their active equity managers – combining equity funds exhibiting...

What is the probability of high inflation; how high, when? These questions are important to all investors since even the 2% level to which we are accustomed will cut an investor's portfolio by over 17% during a decade. This 2% level is the target of the Federal Reserve, along with near 0%...