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 29,598

SSRN RANKINGS

Top 29,598

in Total Papers Downloads

1,506

CITATIONS
Rank 85,883

SSRN RANKINGS

Top 85,883

in Total Papers Citations

0

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, Qplum and OPTrust
Downloads 802 (29,053)

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
Qplum, Qplum, Qplum and Qplum
Downloads 182 (161,742)

Abstract:

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

3.

Dynamic Hedging of Currency Risk in Investment Strategies

Number of pages: 17 Posted: 14 Dec 2018
Gaurav Chakravorty and Ankit Awasthi
Qplum and Qplum
Downloads 128 (217,083)

Abstract:

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

4.

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
Qplum, Qplum and Qplum
Downloads 119 (229,291)

Abstract:

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

5.

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 78 (302,864)

Abstract:

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

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, Qplum, Qplum, Qplum and Qplum
Downloads 59 (354,616)

Abstract:

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

7.

Active Risk Budgeting is better than the Tangency Portfolio

Number of pages: 15 Posted: 02 May 2019 Last Revised: 15 May 2019
Qplum, Qplum, Qplum, Qplum and Qplum
Downloads 47 (389,746)

Abstract:

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

8.

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, Qplum and Qplum
Downloads 35 (434,850)

Abstract:

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

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, Qplum, Qplum and Qplum
Downloads 29 (461,378)

Abstract:

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

10.

Regime Detection Based Risk Modeling of Asset Classes

Number of pages: 14 Last Revised: 15 May 2019
Qplum, Qplum, Qplum, QPLUM LLC and Qplum
Downloads 27 (471,349)

Abstract:

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