We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.

The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

We propose a parsimonious yet flexible statistical method for predicting the relative vulnerability or resilience of individual stocks to market drawdowns. Our approach compares a stock’s unique circumstances – as reflected in popular factor attributes – to the circumstances of stocks that...

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...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks. These scores are used to construct costless long-short...

Throughout the paper, investment portfolios which consist of assets with variance-gamma, gamma and deterministically distributed returns are considered. We derive formulas which characterize the impact of a particular asset on the risks and gains of the portfolio. Namely, we obtain analytical...

In this work we present a new framework for modelling portfolio dynamics and how to incorporate this information in the portfolio selection process. We define drivers for asset and portfolio dynamics, and their optimal selection. We introduce the new Commonality Principle, which gives a solution...

The development of alternative investment has highlighted the limitations of standard performance measures like the Sharpe ratio, primarily because alternative strategies yield returns distributions which can be far from gaussian. In this paper, we propose a new framework in which trades,...

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.