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Agnostic Risk Parity: Taming Known and Unknown-Unknowns

E-print: https://arxiv.org/abs/1610.08818

27 October 2016

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Cleaning correlation matrices

1 April 2016

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Conditional Correlations and Principal Regression Analysis for Futures

E-print: https://arxiv.org/abs/1912.12354

13 January 2020

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Deep deterministic portfolio optimisation

E-print: https://arxiv.org/abs/2003.06497

13 March 2020

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Eigenvector dynamics: theory and some applications

E-print: https://arxiv.org/abs/1203.6228

1 August 2011

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Equity Factors: to short or not to short, that is the question

E-print: https://arxiv.org/abs/2003.10419

24 March 2020

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Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimisation

E-print: http://arxiv.org/abs/cond-mat/0402573

15 February 2004

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Portfolio Construction Matters

E-print: https://arxiv.org/abs/1810.08384

19 October 2018

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Risk Premia: Asymmetric Tail Risks and Excess Returns

1 September 2014

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Rotational invariant estimator for general noisy matrices

E-print: http://arxiv.org/abs/1502.06736!

24 February 2015

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Taming large events: portfolio selection for strongly fluctuating assets

15 January 1998

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The case for long-only agnostic allocation portfolios

E-print: https://arxiv.org/abs/1906.05187

12 June 2019

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