4 citations · 8 across the 18 of their papers we have counts for
34 papers
Machine Learning and Factor-Based Portfolio Optimization
Thomas Conlon, John Cotter, Iason Kynigakis
We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used char…
The non-linear trade-off between return and risk: a regime-switching multi-factor framework
John Cotter, Enrique Salvador
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find n…
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
John Cotter, Stuart Gabriel, Richard Roll
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification p…
Integration and Contagion in US Housing Markets
John Cotter, Stuart Gabriel, Richard Roll
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes fro…
Financial Risks and the Pension Protection Fund: Can it Survive Them?
David Blake, John Cotter, Kevin Dowd
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes und…
Absolute Return Volatility
John Cotter
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.