4 papers
Matching with Committee Preferences
Haoyu Song, Thanh Nguyen, Young-san Lin
We study a many-to-one matching model inspired by school choice, where schools evaluate applicants using multiple rankings rather than a single priority order. We model each school…
Systematic Trend-Following with Adaptive Portfolio Construction: Enhancing Risk-Adjusted Alpha in Cryptocurrency Markets
Duc Bui, Thanh Nguyen
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propo…
Talyxion: From Speculation to Optimization in Risk Managed Crypto Portfolio Allocation
Thanh Nguyen
Cryptocurrency trading has attracted tremendous attention from both retail and institutional investors. However, most traders fail to scale their assets under management due to fra…
Sharpe-Driven Stock Selection and Liquidiy-Constrained Portfolio Optimization: Evidence from the Chinese Equity Market
Thanh Nguyen
This paper develops and empirically evaluates a Sharpe-driven stock selection and liquidity-constrained portfolio optimization framework designed for the Chinese equity market. The…