2 papers
q-fin.ST2017
Biased Risk Parity with Fractal Model of Risk
Sergey Kamenshchikov, Ilia Drozdov
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom…
q-fin.PM2016
Fractal Optimization of Market Neutral Portfolio
Sergey Kamenshchikov, Ilia Drozdov
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was consider…