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Results for “sleeves” · papers 5 · wiki 2
Academic Papers · 5arXiv q-fin live 5 · desk corpus 0
arXiv · arXiv q-fin · 2026
Tail-risk management is not only an instrument-selection problem. It is an allocation problem across loss mechanisms: abrupt crash states, volatility repricing, and persistent drawdowns require different forms of protection. This paper develops a continuous-time CVaR framework that places two common protection sleeves -- long out-of-the-money put options and systematic trend-following overlays -- inside one coherent …
Miquel Noguer I Alonso, Ali Al Fallouji
arXiv · arXiv q-fin · 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 q-fin · 2025
Digital Asset Treasury (DAT) companies, public firms that hold large crypto reserves as a core strategy, deliver levered exposure to digital assets but face acute downside risk when equity premia over net asset value multiples (mNAV) compress in bear markets. This paper develops a survival framework that couples conservative treasury policy with an operating line that monetizes holdings independent of mark-to-market …
Hongzhe Wen
arXiv · arXiv q-fin · 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 q-fin · 2026
This paper studies Relief-Gated Relative Rotation (RGRR), a two-ETF rule that allocates between QQQ and DIA by mapping screened relative and macro states into a continuous QQQ weight. RGRR is economic rather than mechanical: it rotates between a growth-heavy sleeve and a Dow/value-heavy sleeve only when QQQ-DIA relative states are confirmed by rate, volatility, credit, or broad-market relief conditions. Candidate mai…
Zheli Xiong
Option Blackboard · 0
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