4 papers
Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach
Maciej Wysocki
This paper develops the first end-to-end application of cross-sectional learning-to-rank to the S&P 500 weekly options (SPXW) zero-day-to-expiration surface, integrated with margin…
Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models
Maciej Wysocki, PaweÅ Sakowski
This paper investigates an important problem of an appropriate variance-covariance matrix estimation in the Modern Portfolio Theory. We propose a novel framework for variancecovari…
Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options
Maciej Wysocki
This paper examines systematic put-writing strategies applied to S&P 500 Index options, with a focus on position sizing as a key determinant of long-term performance. Despite the w…
Construction and Hedging of Equity Index Options Portfolios
Maciej Wysocki, Robert Ålepaczuk
This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies…