DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Convex scalarizations of the mean-variance-skewness-kurtosis problem in portfolio selection. Published Feb 21, 2023.
Publication: Beating the Market with Generalized Generating Portfolios. Published Jan 18, 2021.
Publication: Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory. Published Apr 27, 2023.
Publication: Self-Consistent Adjoint Policy Iteration for Constrained Dynamic Portfolio Choice. Published Aug 18, 2026.
Publication: Testing for the Minimum Mean-Variance Spanning Set. Published Jan 31, 2025.
Publication: Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. Published Oct 9, 2025.
Publication: Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation. Published Aug 31, 2026.
Publication: The Interplay between Utility and Risk in Portfolio Selection. Published Sep 12, 2025.
Publication: Cross Currency Valuation and Hedging in the Multiple Curve Framework. Published Jan 29, 2020.
Publication: Conditional Systemic Risk Measures. Published Oct 22, 2020.
Publication: The importance of dynamic risk constraints for limited liability operators. Published Nov 6, 2020.
Publication: Universal Risk Budgeting. Published Jun 18, 2021.
Publication: Robust Asset-Liability Management. Published Oct 1, 2023.
Publication: Model-free price bounds under dynamic option trading. Published Jan 4, 2021.
Publication: Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?. Published Nov 24, 2021.
Publication: Non-concave stochastic optimal control in finite discrete time under model uncertainty. Published Apr 8, 2024.
Publication: Dynamically optimal portfolios for monotone mean--variance preferences. Published Mar 11, 2025.
Publication: Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection. Published Apr 5, 2025.
Publication: Personalized Robo-Advising: Enhancing Investment through Client Interaction. Published Nov 4, 2019.
Publication: Fundamental theorem of asset pricing with acceptable risk in markets with frictions. Published Dec 15, 2020.
Publication: Risk measures beyond frictionless markets. Published Nov 16, 2021.
Publication: On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach. Published Feb 8, 2022.
Publication: Risk Budgeting Allocation for Dynamic Risk Measures. Published May 18, 2023.
Publication: Risk measures based on weak optimal transport. Published Dec 10, 2023.
Publication: Mirror Descent Algorithms for Risk Budgeting Portfolios. Published Nov 19, 2024.
Publication: Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models. Published Feb 5, 2020.
Publication: Feasible Implied Correlation Matrices from Factor Structures. Published Jul 1, 2021.
Publication: Equations and Shape of the Optimal Band Strategy. Published Mar 10, 2020.
Publication: Recipes for hedging exotics with illiquid vanillas. Published May 20, 2020.
Publication: Aspects of a phase transition in high-dimensional random geometry. Published May 10, 2021.
Publication: Tradable Itô Signatures: A Model-Free, Interpretable Framework for Dynamic Hedging. Published Jul 14, 2026.
Publication: Mod-Poisson approximation schemes: Applications to credit risk. Published Oct 26, 2022.
Publication: Construction and Hedging of Equity Index Options Portfolios. Published Jul 18, 2024.
Publication: Unified Approach for Hedging Impermanent Loss of Liquidity Provision. Published Jul 6, 2024.
Publication: Rethinking Synthetic Scenario Realism: Compatibility, Not Fidelity, Drives Hedging Performance. Published Aug 21, 2026.
Publication: A pure dual approach for hedging Bermudan options. Published Apr 29, 2024.
