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 8,685

SSRN RANKINGS

Top 8,685

in Total Papers Downloads

8,781

SSRN CITATIONS
Rank 83,402

SSRN RANKINGS

Top 83,402

in Total Papers Citations

1

CROSSREF CITATIONS

1

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

  • Qplum

Scholarly Papers (10)

Actions:
Email selected abstracts
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 2,290 (10,471)
Citation 1

Abstract:

Loading...

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

2.

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 1,830 (15,004)

Abstract:

Loading...

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

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 affiliation not provided to SSRN
Downloads 1,036 (34,985)

Abstract:

Loading...

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

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
Wright Research, Qplum and Qplum
Downloads 909 (42,028)

Abstract:

Loading...

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

5.

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 824 (48,117)

Abstract:

Loading...

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

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, affiliation not provided to SSRN, Wright Research, Qplum and Qplum
Downloads 600 (72,939)
Citation 1

Abstract:

Loading...

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 462 (100,548)

Abstract:

Loading...

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, affiliation not provided to SSRN, Qplum, Qplum and Wright Research
Downloads 386 (123,990)

Abstract:

Loading...

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 248 (197,684)

Abstract:

Loading...

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 196 (246,742)
Citation 1

Abstract:

Loading...

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