arXiv · arXiv · 2026
This paper studies a modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve R and interest-bearing cash C. The risky sleeve is a static 50/50 combination of equal-weight growth/technology and defensive income/value ETF baskets; the target is future R-C return, with the cash leg earning the contemporaneous cash rate. Two independent filters are tested. The slow-tail filter maps continuo…
Zheli Xiong
arXiv · arXiv · 2022
We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65, and earns mortality credits while alive, but forfeits all wealth in the account upon death. The holder desires to maximize total withdrawals, and minimize the expected shortfall, assuming the holder survives to age 95. The inv…
Peter A. Forsyth, Kenneth R. Vetzal, G. Westmacott
arXiv · arXiv · 2016
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currency. Multi-currency portfolio is an alternative to achieve higher returns and more diversified portfol…
Nonthachote Chatsanga, Andrew J. Parkes
arXiv · arXiv · 2026
We present a simple framework for dynamic portfolio management that uses nothing but daily prices, trading volumes, and market capitalizations. Its state is three fixed-size matrices built from the price history: the distance matrix of the return correlations and the transition matrices of two Markov chains that rank the S\&P 500 names monthly by trailing return and by trailing volatility. These three matrices rest o…
Igor Halperin
arXiv · arXiv · 2025
We present a reinforcement-learning (RL) framework for dynamic hedging of equity index option exposures under realistic transaction costs and position limits. We hedge a normalized option-implied equity exposure (one unit of underlying delta, offset via SPY) by trading the underlying index ETF, using the option surface and macro variables only as state information and not as a direct pricing engine. Building on the "…
Travon Lucius, Christian Koch, Jacob Starling, Julia Zhu, Miguel Urena
arXiv · arXiv · 2011
In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to achieve the same economic effects. In this paper, we have presented a simple generic valuation framewo…
Masaaki Fujii, Akihiko Takahashi