6 papers
Latent-Regime Bias Auditing for Volatility Forecasting
Arthur Chagas, Pedro Bento, Yan Aquino +3
Volatility forecasts are commonly evaluated with aggregate accuracy metrics such as RMSE and MAE, but these metrics can hide conditional failures that matter for risk management. T…
Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints
Cristiano Arbex Valle, John E Beasley, Nigel Meade
In this paper we apply second-order stochastic dominance (SSD) to the problem of enhanced indexation with asset subset (sector) constraints. The problem we consider is how to const…
Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
N. Meade, C. A. Valle, J. E. Beasley
Index trackers are important passive investments offering the return and risk of the market encapsulated by the index, the largest US index tracker was valued at $900 billion in ea…
Inference-Time Decision Calibration for Temporal Classification
Arthur Chagas, Arthur Buzelin, Yan Aquino +4
Temporal classification errors are often treated as representation failures, but they can also arise from how available evidence is converted into decisions. This paper proposes a…
Enhanced indexation using both equity assets and index options
Cristiano Arbex Valle, John E Beasley
In this paper we consider how we can include index options in enhanced indexation. We present the concept of an \enquote{option strategy} which enables us to treat options as an ar…
Portfolio optimisation: bridging the gap between theory and practice
Cristiano Arbex Valle
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio…