Gaurav Chakravorty

Qplum

Principal, Chief Investment Officer

Harborside 5, 185 Hudson St, Suite 1620

Jersey City, NJ 07311

United States

http://https://www.qplum.co

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 12,374

SSRN RANKINGS

Top 12,374

in Total Papers Downloads

4,210

SSRN CITATIONS
Rank 75,809

SSRN RANKINGS

Top 75,809

in Total Papers Citations

1

CROSSREF CITATIONS

4

Ideas:
“  A portfolio construction methodology that does better than Grinold and Kahn in practice.  ”

Scholarly Papers (10)

1.

Deep Learning for Global Tactical Asset Allocation

Number of pages: 17 Posted: 11 Nov 2018 Last Revised: 03 Mar 2019
Gaurav Chakravorty, Ankit Awasthi and Brandon Da Silva
Qplum, affiliation not provided to SSRN and OPTrust
Downloads 1,497 (13,002)
Citation 5

Abstract:

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Tactical Asset Allocation, Neural Networks, Deep Learning, Regime Detection, Portfolio Construction

2.

A Multi Strategy Approach to Trading Foreign Exchange Futures

Number of pages: 26 Posted: 28 Jan 2019 Last Revised: 05 Feb 2019
Sonam Srivastava, Gaurav Chakravorty, Sanchit Gupta and Ankit Awasthi
Wright Research, Qplum, Qplum and affiliation not provided to SSRN
Downloads 508 (59,864)

Abstract:

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Foreign Exchange, Derivatives, Portfolio Construction, Multi-strategy, Managed Futures

3.

An Intraday Trend-Following Trading Strategy on Equity Derivatives in India

Number of pages: 11 Posted: 18 Mar 2019
Nishit Bhandari and Gaurav Chakravorty
QPLUM LLC and Qplum
Downloads 457 (68,252)

Abstract:

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derivatives, trend-following, intraday, return periodicity, market microstructure

4.

Dynamic Hedging of Currency Risk in Investment Strategies

Number of pages: 17 Posted: 14 Dec 2018
Gaurav Chakravorty and Ankit Awasthi
Qplum and affiliation not provided to SSRN
Downloads 442 (71,061)

Abstract:

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Foreign Exchange, Derivatives, Currency Risk, Optimal Hedging, Dynamic Asset Allocation

5.

Momentum in the Indian Equity Markets: Positive Convexity and Positive Alpha

Number of pages: 16 Posted: 18 Mar 2019 Last Revised: 23 Apr 2019
Sonam Srivastava, Gaurav Chakravorty and Mansi Singhal
Wright Research, Qplum and Qplum
Downloads 397 (80,722)

Abstract:

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tactical asset allocation, time series momentum, quantitative portfolio management, asset pricing, futures pricing, international financial markets, market efficiency

6.

Active Risk Budgeting: A Portfolio Construction Methodology for Futures Strategies

Number of pages: 18 Posted: 02 May 2019 Last Revised: 15 May 2019
Qplum, affiliation not provided to SSRN, Wright Research, Qplum and Qplum
Downloads 284 (117,349)

Abstract:

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Portfolio Construction, Position Sizing, Managed Futures, Portfolio Optimization, Risk Budgeting, Risk Parity

7.

Regime Detection Based Risk Modeling of Asset Classes

Number of pages: 14 Posted: 28 May 2019
Qplum, Qplum, Wright Research, QPLUM LLC and Qplum
Downloads 232 (144,235)

Abstract:

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Risk Targeting, Tactical Asset Allocation, Regime Detection, Risk Prediction, Portfolio Construction

8.

Active Risk Budgeting is better than the Tangency Portfolio

Number of pages: 15 Posted: 02 May 2019 Last Revised: 15 May 2019
Qplum, affiliation not provided to SSRN, Qplum, Qplum and Wright Research
Downloads 198 (167,491)

Abstract:

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Portfolio Construction, Position Sizing, Managed Futures, Portfolio Optimization, Risk Budgeting, Risk Parity

9.

Optimal Tactical Asset Allocation – Using Recommender Systems in Portfolio Management

Number of pages: 17 Posted: 05 Mar 2019
Gaurav Chakravorty, Ankit Awasthi, Anshul Sirohiya and Mansi Singhal
Qplum, affiliation not provided to SSRN, Qplum and Qplum
Downloads 108 (273,768)

Abstract:

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Portfolio Construction, Tactical Allocation, Recommender Systems, Matrix Factorization, Global Macro Trading

10.

Dynamic Risk-Aware Yield Search: A Useful Tool for Fixed Income Investors

Number of pages: 18 Posted: 12 Feb 2019 Last Revised: 15 Feb 2019
Gaurav Chakravorty, Ankit Awasthi and Mansi Singhal
Qplum, affiliation not provided to SSRN and Qplum
Downloads 87 (315,387)
Citation 1

Abstract:

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Asset Allocation, Fixed Income, Government Bonds, Corporate Bonds, Inflation, Risk Management, Fixed Income Portfolio Management