most citedPortfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers

9 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions

2 papers

q-fin.PM2024★ 2 cited

A Portfolio's Common Causal Conditional Risk-neutral PDE

Alejandro Rodriguez Dominguez

Portfolio's optimal drivers for diversification are common causes of the constituents' correlations. A closed-form formula for the conditional probability of the portfolio given it…

q-fin.PM2022★ 9 cited

Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers

Alejandro Rodriguez Dominguez

We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Princ…