10 papers
The Market's Conditioning Representation: Equilibrium, Crowding, and Convention Multiplicity
Alejandro Rodriguez Dominguez
Asset-pricing models typically condition on a fixed information set. This paper endogenises the market's conditioning architecture by allowing portfolios to choose representations…
Robustness or Crowding: Experimental Design for Trading Strategy Capacity
Alejandro Rodriguez Dominguez, Miquel Noguer i Alonso
How much capital a trading strategy can absorb before its edge disappears is a causal question about how much is deployed, but it is answered with observational proxies that rest o…
Dynamic Causal Portfolio Choice: Hedging the Rotation of the Common-Driver Manifold
Alejandro Rodriguez Dominguez
When a portfolio is conditioned on a minimal set of observable drivers under which its assets become mutually independent over the investment horizon, the dynamic investment proble…
Causal Separation, Conditional Risk, and Projected Markowitz Portfolios
Alejandro Rodriguez Dominguez
We formalize a single structural condition on a portfolio problem, causal separation: conditional on the realized path of a declared set of drivers through the investment horizon,…
A sharp order-three obstruction to the aggregation of conditional price-of-risk attribution
Alejandro Rodriguez Dominguez
We study the squared price-of-risk premium of a portfolio -- an integrated conditional squared Sharpe-ratio functional, not an expected excess return -- and its attribution to caus…
Admissible Information Structures, Immersion, and the Order of Non-Anticipative Aggregation
Alejandro Rodriguez Dominguez
This version corrects and supersedes an earlier preprint (arXiv:2601.12541) whose central impossibility theorem was incorrect; the nature of the error and its correction are stated…