DUCKQUANT / THE QUANT & AI DIRECTORY
976 resources, ranked by in-directory PageRank
Publication: Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network. Published Nov 29, 2025.
Publication: A Practical Guide to Simulating Correlated Binary Outcomes. Published Jul 18, 2026.
Publication: Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS. Published Sep 29, 2023.
Publication: Discrete-time risk sensitive portfolio optimization with proportional transaction costs. Published Jan 8, 2022.
Publication: Data-driven distributionally robust risk parity portfolio optimization. Published Oct 13, 2021.
Publication: Data-driven Multiperiod Robust Mean-Variance Optimization. Published Jun 29, 2023.
Publication: A Unified Framework for Fast Large-Scale Portfolio Optimization. Published Mar 22, 2023.
Publication: Functional portfolio optimization in stochastic portfolio theory. Published Mar 19, 2021.
Publication: High-dimensional Portfolio Optimization using Joint Shrinkage. Published Sep 24, 2021.
Publication: Mesoscopic Structure of the Stock Market and Portfolio Optimization. Published Dec 13, 2021.
Publication: Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization. Published Sep 7, 2022.
Publication: Portfolio Construction as Linearly Constrained Separable Optimization. Published Mar 9, 2021.
Publication: Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context. Published Oct 14, 2024.
Publication: Integrating prediction in mean-variance portfolio optimization. Published Feb 18, 2021.
Publication: Tax-Aware Portfolio Construction via Convex Optimization. Published Aug 11, 2020.
Publication: Order Optimal Regret Bounds for Sharpe Ratio Optimization under Thompson Sampling. Published Aug 19, 2025.
Publication: Systemic Risk of Optioned Portfolios: Controllability and Optimization. Published Sep 10, 2022.
Publication: Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk. Published Apr 22, 2021.
Publication: LoCoV: low dimension covariance voting algorithm for portfolio optimization. Published Apr 1, 2022.
Publication: Robust Wasserstein Optimization and its Application in Mean-CVaR. Published Jun 27, 2023.
Publication: Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs. Published Jul 17, 2026.
Publication: Portfolio Optimization with Relative Tail Risk. Published Mar 21, 2023.
Publication: End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning. Published Jul 2, 2025.
Publication: Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. Published Apr 14, 2020.
Publication: Estimating and backtesting risk under heavy tails. Published Oct 20, 2020.
Publication: Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions. Published Feb 14, 2024.
Publication: Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. Published Apr 20, 2021.
Publication: Efficient option pricing in the rough Heston model using weak simulation schemes. Published Oct 6, 2023.
Publication: Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Published Nov 12, 2020.
Publication: Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. Published Feb 28, 2025.
Publication: Robo-Advising: Enhancing Investment with Inverse Optimization and Deep Reinforcement Learning. Published May 19, 2021.
Publication: Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. Published Mar 23, 2025.
Publication: MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model. Published Sep 4, 2024.
Publication: Risk-Neutral Market Simulation. Published Feb 28, 2022.
Publication: FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. Published Mar 1, 2023.
Publication: Multi-Asset Spot and Option Market Simulation. Published Dec 13, 2021.
