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q-fin.PM2026
Simple Dynamic Stock/Bond/Gold Portfolios
Nikhil Devanathan, Alexandros E. Tzikas, Stephen P. Boyd
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/…
cs.LG2026
Simplifying Flow Matching Transformations with Low-Rank Mixture Models
Liam A. Kruse, Houjun Liu, Alexandros E. Tzikas +2
Normalizing flows are powerful generative models that learn an invertible mapping between complex data distributions and simple latent distributions, typically a standard normal de…
stat.AP2026
Enhancing a Risk Model by Adding Transient Statistical Factors
Alexandros E. Tzikas, Emmanuel J. Candès, Trevor Hastie +3
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a fac…