3 papers
q-fin.CP2026
Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach
Maciej Wysocki
This paper develops the first end-to-end application of cross-sectional learning-to-rank to the S&P 500 weekly options (SPXW) zero-day-to-expiration surface, integrated with margin…
q-fin.PM2025
Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models
Maciej Wysocki, Paweł Sakowski
This paper investigates an important problem of an appropriate variance-covariance matrix estimation in the Modern Portfolio Theory. We propose a novel framework for variancecovari…
q-fin.PM2025
Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options
Maciej Wysocki
This paper examines systematic put-writing strategies applied to S&P 500 Index options, with a focus on position sizing as a key determinant of long-term performance. Despite the w…