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q-fin.RM2025
Noise-proofing Universal Portfolio Shrinkage
Paul Ruelloux, Christian Bongiorno, Damien Challet
We enhance the Universal Portfolio Shrinkage Approximator (UPSA) of Kelly et al. (2023) by making it more robust with respect to estimation noise and covariate shift. UPSA optimize…
q-fin.MF2025
Optimal risk-aware interest rates for decentralized lending protocols
Bastien Baude, Damien Challet, Ioane Muni Toke
Interest rates in decentralized lending protocols are set algorithmically and adjust to supply and demand for liquidity. In this study, we propose an optimal interest rate model th…