Research Papers

A practitioner framework for fund quality classification using historical return data only. Built on a 33,030 fund universe across 25 sectors with weighted performance features and modified Sharpe style ranking logic.

A litigation grade framework that combines cost equity ratio tests, implied volatility extraction, and Monte Carlo portfolio probability analysis to evaluate excessive trading misconduct in options portfolios.

A comparative hedge study of stop loss execution versus put option protection during the January 2015 EUR CHF shock. The analysis focuses on discontinuity risk and implementation cost under stress.

A constrained hedging analysis of the 1993 Metallgesellschaft failure. The paper compares rolling hedge logic with optimal control variants and shows how funding path risk dominates terminal variance metrics.

A practical implementation framework for expected credit loss, stress testing, and risk based pricing integration in institutional credit portfolios, with governance and validation constraints.

A synthesis of robust optimization methods for portfolio construction, including risk parity, CVaR formulations, sparse tracking, and uncertainty set controls for estimation error management.

A framework for funded and unfunded risk participation in infrastructure finance and policy-aligned capital formation. Decomposes risk sharing structures across construction, operation, and refinancing phases with institutional governance mapping.

A framework on architecture, optimization governance, and lifecycle control for algorithmic strategy generation systems. Addresses overfitting detection, backtest integrity, deployment gates, and monitoring requirements for institutional systematic trading.