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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

  • Qplum

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 7,882

SSRN RANKINGS

Top 7,882

in Total Papers Downloads

13,465

TOTAL CITATIONS
Rank 214,102

SSRN RANKINGS

Top 214,102

in Total Papers Citations

12

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

  • Qplum

Scholarly Papers (10)

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1.

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 3,699 (7,588)

Abstract:

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

2.

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, Twilio and OPTrust
Downloads 2,810 (11,691)
Citation 9

Abstract:

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

3.

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 Twilio
Downloads 1,523 (30,852)

Abstract:

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

4.

Dynamic Hedging of Currency Risk in Investment Strategies

Number of pages: 17 Posted: 14 Dec 2018
Gaurav Chakravorty and Ankit Awasthi
Qplum and Twilio
Downloads 1,384 (35,376)

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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 1,354 (36,635)

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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
Gaurav Chakravorty, Ankit Awasthi, Sonam Srivastava, Sanchit Gupta and Mansi Singhal
Qplum, Twilio, Wright Research, Qplum and Qplum
Downloads 857 (70,207)
Citation 2

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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
Gaurav Chakravorty, Anshul Sirohiya, Sonam Srivastava, Nikhil Agrawal and Mansi Singhal
Qplum, Qplum, Wright Research, QPLUM LLC and Qplum
Downloads 641 (102,902)

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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
Gaurav Chakravorty, Ankit Awasthi, Mansi Singhal, Sanchit Gupta and Sonam Srivastava
Qplum, Twilio, Qplum, Qplum and Wright Research
Downloads 602 (111,533)

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, Twilio, Qplum and Qplum
Downloads 304 (248,651)

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, Twilio and Qplum
Downloads 291 (260,469)
Citation 1

Abstract:

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