9 citations · 14 across the 14 of their papers we have counts for
17 papers
Causal Price-of-Risk Mandates under Overlapping Information
Alejandro Rodriguez Dominguez
We study whether causal risk mandates constructed from overlapping information blocks can be implemented by one self-financing portfolio that is optimal under pooled information. I…
Admissible Portfolio Optimization: Information Constraints, Conditional Efficient Frontiers, and the Price of Causal Identification
Alejandro Rodriguez Dominguez
Mean--variance portfolio choice takes the conditioning information as given and optimizes over weights, so two errors about that information pass into the portfolio unseen: using v…
Uniform Inference and Certified Capacity at a Reflexive Stability Boundary
Alejandro Rodriguez Dominguez
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-b…
Switching Frictions, Heterogeneous Trading Horizons, and Long-Memory Order Flow
Alejandro Rodriguez Dominguez
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow. Heterogeneous switchin…
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…
Screening-Off Information and Conditional Risk in Portfolio Choice
Alejandro Rodriguez Dominguez
Conditional portfolio models estimate risk relative to a chosen information set, yet rarely test whether that information removes common cross-asset dependence. When it does not, s…
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…
Order-Constrained Spectral Causality for Multivariate Time Series
Alejandro Rodriguez Dominguez
We introduce an operator-theoretic framework for analyzing directional dependence in multivariate time series based on order-constrained spectral non-invariance. Directional influe…
Causal PDE-Control Models for Dynamic Portfolio Optimization with Latent Drivers
Alejandro Rodriguez Dominguez
Classical portfolio models degrade under structural breaks, whereas flexible machine-learning allocation methods often lack arbitrage consistency and interpretability. We propose C…
Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions
Alejandro Rodriguez Dominguez
Fundamental and necessary principles for achieving efficient portfolio optimization based on asset and diversification dynamics are presented. The Commonality Principle is a necess…
A Portfolio's Common Causal Conditional Risk-neutral PDE
Alejandro Rodriguez Dominguez
Portfolio's optimal drivers for diversification are common causes of the constituents' correlations. A closed-form formula for the conditional probability of the portfolio given it…
A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices
Alejandro Rodriguez Dominguez, Om Hari Yadav
This paper presents a method to identify causal interactions between two time series. The largest eigenvalue follows a Tracy-Widom distribution, derived from a Coulomb gas model. T…
A Clustering Algorithm for Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory
Alejandro Rodriguez Dominguez, David Stynes
We present a geometric version of Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) tests in correlation structures that allows us to include and combine new informa…
Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers
Alejandro Rodriguez Dominguez
We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Princ…