9 citations · 14 across the 14 of their papers we have counts for
14 papers · 1 filter
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…
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…
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…