DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Worst-case values of target semi-variances with applications to robust portfolio selection. Published Oct 2, 2024.
Publication: Proof-Carrying No-Arbitrage Surfaces: Constructive PCA-Smolyak Meets Chain-Consistent Diffusion with c-EMOT Certificates. Published Nov 12, 2025.
Publication: Sparse High-Order Portfolios via Proximal DCA and SCA. Published Aug 29, 2020.
Publication: Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process. Published Jan 11, 2021.
Publication: Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. Published Apr 6, 2020.
Publication: Model-free Portfolio Theory: A Rough Path Approach. Published Sep 4, 2021.
Publication: Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport. Published Apr 29, 2023.
Publication: Portfolio risk allocation through Shapley value. Published Mar 9, 2021.
Publication: The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics. Published Apr 11, 2026.
Publication: On data-driven robust distortion risk measures for non-negative risks with partial information. Published Aug 14, 2025.
Publication: SPX-VIX Risk Computations Via Perturbed Optimal Transport. Published Mar 11, 2026.
Publication: Robust Arbitrage Conditions for Financial Markets. Published Apr 20, 2020.
Publication: Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. Published Nov 2, 2021.
Abstract page for arXiv paper 2311.15333: Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Publication: Calibrated rank volatility stabilized models for large equity markets. Published Mar 7, 2024.
Publication: Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice. Published Jan 22, 2025.
Publication: Solving High-Order Portfolios via Successive Convex Approximation Algorithms. Published Aug 3, 2020.
Publication: Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. Published Oct 18, 2021.
Publication: Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model. Published Jul 14, 2025.
Publication: Goal-based portfolio selection with fixed transaction costs. Published Oct 24, 2025.
Publication: Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures. Published Oct 28, 2025.
Publication: Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics. Published Nov 24, 2021.
Publication: Multilevel Richardson-Romberg and Importance Sampling in Derivative Pricing. Published Sep 2, 2022.
Publication: Joint Modelling and Calibration of SPX and VIX by Optimal Transport. Published Apr 5, 2020.
Publication: Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages. Published Oct 6, 2020.
Publication: Predictive Decision Synthesis for Portfolios: Betting on Better Models. Published Apr 30, 2024.
Publication: Sustainable Investment: ESG Impacts on Large Portfolio. Published Feb 16, 2026.
Publication: Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing. Published Sep 20, 2026.
Publication: MAD Risk Parity Portfolios. Published Oct 23, 2021.
Publication: Fat Tails and Optimal Liability Driven Portfolios. Published Jan 26, 2022.
Publication: Quantifying dimensional change in stochastic portfolio theory. Published Mar 1, 2023.
Publication: General duality and dual attainment for adapted transport. Published Jan 22, 2024.
Publication: Basket implied volatility skew and stickiness. Published Sep 28, 2026.
Publication: Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets. Published May 3, 2021.
Publication: Turnover-Adjusted Information Ratio. Published May 19, 2021.
Publication: Costly Trading. Published Oct 7, 2021.
