DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Model-free bounds for multi-asset options using option-implied information and their exact computation. Published Jun 25, 2020.
Publication: Designing Time-Series Models With Hypernetworks & Adversarial Portfolios. Published Jul 29, 2024.
Publication: Mean-Covariance Robust Risk Measurement. Published Dec 18, 2021.
Publication: Efficient and Near-Optimal Online Portfolio Selection. Published Sep 28, 2022.
Publication: Convex Modeling of Price Cross-Impact over Time. Published Sep 4, 2026.
Publication: Correlation scenarios and correlation stress testing. Published Jul 14, 2021.
Publication: Risk Budgeting Portfolios: Existence and Computation. Published Nov 14, 2022.
Publication: Robust Hedging of American Options via Aggregated Snell Envelopes. Published Jun 17, 2025.
Publication: The Efficient Frontier from a LASSO Solver. Published Sep 29, 2026.
Publication: Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms. Published Jun 5, 2024.
Publication: Mean-Field Liquidation Games with Market Drop-out. Published Mar 10, 2023.
Publication: The Mathematics of Volatility Surfaces. Published Aug 4, 2026.
Publication: Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. Published Aug 14, 2025.
Publication: Robustifying Conditional Portfolio Decisions via Optimal Transport. Published Mar 30, 2021.
Publication: Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation. Published Mar 19, 2025.
Publication: Asymptotic universal moment matching properties of normal distributions. Published Aug 5, 2025.
Publication: Efficient differentiable quadratic programming layers: an ADMM approach. Published Dec 14, 2021.
Publication: The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. Published Aug 5, 2021.
Publication: Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. Published Jun 4, 2020.
Publication: A Framework for Measures of Risk under Uncertainty. Published Oct 20, 2021.
Publication: Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Published Nov 2, 2021.
Publication: Optimal trend following portfolios. Published Jan 17, 2022.
Publication: Functionally Generated Portfolios Under Stochastic Transaction Costs: Theory and Empirical Evidence. Published Jul 12, 2025.
Publication: Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. Published Feb 22, 2022.
Publication: Macroscopic properties of equity markets: stylized facts and portfolio performance. Published Sep 17, 2024.
Publication: Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. Published Jun 3, 2021.
Publication: Consistent Estimation of the High-Dimensional Efficient Frontier. Published Sep 23, 2024.
Publication: Detecting and repairing arbitrage in traded option prices. Published Aug 21, 2020.
Publication: Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints. Published Sep 17, 2020.
Publication: Optimal Portfolio Choice with Cross-Impact Propagators. Published Mar 15, 2024.
Publication: Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model. Published Jul 27, 2022.
Publication: Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus. Published Sep 17, 2025.
Publication: Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. Published May 9, 2022.
Publication: Robustness or Crowding: Experimental Design for Trading Strategy Capacity. Published Aug 9, 2026.
Publication: Hedging under rough volatility. Published May 10, 2021.
Publication: The law of one price in quadratic hedging and mean-variance portfolio selection. Published Oct 27, 2022.
