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Optimal Hedging Strategies With an Application to Hedge Fund Replication

In this paper, the authors discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.

Alexandre Hocquard, Nicolas Papageorgiou, Bruno Rémillard
Wed 15 Nov 2023
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Quantpedia Research Review - Issue 13

Issue 13 examines the strategies of Time Invariant Portfolio Protection, discusses how different investors and their strategies influence anomaly returns, and revisits the potential of OpenAI's ChatGPT for backtesting.

Quantpedia
Wed 15 Nov 2023
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CQF Program Celebrates its 20th Anniversary with Record-Breaking Number of Graduates

The Certificate in Quantitative Finance (CQF) program has double the reason to celebrate this year. Not only does this year mark the CQF's 20th anniversary, but also the highest number of CQF delegates in the program's two-decade history have successfully graduated in the most recent cohort.

CQF
Mon 23 Oct 2023
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Primer on Arbitrage and Asset Pricing

In this paper, the authors go back to basics with arbitrage and asset pricing.

Leonard MacLean and Bill Ziemba
Thu 19 Oct 2023
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CDOs in Chains

In this paper, the authors explore the pricing of CDOs in a Markov chain framework.

Johan de Kock, Holger Kraft, and Mogens Steffensen
Thu 19 Oct 2023
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Quantpedia Research Review - Issue 12

Issue 12 explores seasonal patterns related to Bitcoin, investigates the diversification potential of commodities, and discusses how machine learning can be used in quantitative trading.

Quantpedia
Thu 19 Oct 2023
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Quantpedia Research Review - Issue 11

Issue 11 explores technical analysis patterns, investigates long-short anomaly portfolio return predictability, and discusses the performance of factor strategies in India.

Quantpedia
Fri 29 Sep 2023
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An Introduction to the Generalized Marginal Risk

In this paper, the authors present the concept of generalized marginal risk.

David Ardia and Simon Keel
Fri 22 Sep 2023
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The Value of Liquidity

In this article, the authors present a game-theoretic example that helps to illustrate the value of liquidity.

Ranjan Bhaduri and Niall Whelan
Tue 22 Aug 2023
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Quantpedia Research Review - Issue 10

Issue 10 discusses how beta adjusting equity factor leads to better strategies, explores the top models for Natural Language Understanding (NLU), and provides an analysis of factor investing funds.

Quantpedia
Tue 22 Aug 2023

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