The main idea of this article is to approach and compare factor and asset allocation
portfolios using both traditional and alternative allocation techniques: inverse variance …

In this article, the authors investigate the hedge fund market as a network of interacting
individual funds. The authors identify and analyze the most important hedge fund styles that …

The main goal of this article is to show the relation between global equity and bond funds
from a network perspective. The authors demonstrate the advantages of graph theory to …

The author introduces a modular machine learning framework for model validation in which
the output from one procedure serves as the input to another procedure within a single …

Calculating true volatility is an essential task for option pricing and risk management. It is
made difficult, however, by market microstructure noise. Particle filtering has been proposed …

This paper aims to explore a new model to study financial stock investment management
(SIM) and obtain excess returns. Consequently, it proposes a financial SIM model using …

For some time now, the prospect that the world is entering a new epoch of elevated prices
for agricultural commodities has been a focus of both policymakers concerned with the food …

The author develops a novel approach to portfolio construction that builds on the first
principles preference theory, incorporating characteristics of portfolios beyond the mean and …

Kernel principal component analysis (PCA) is an extension of the conventional PCA method
that employs a kernel transformation whereby hidden patterns in possibly multidimensional …

Abstract [eng] The work aims to construct machine learning models that recognize different
regimes in stock markets and compare their results with the autoregressive Markov regime …