Lars N. Kestner

Independent

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 21,501

SSRN RANKINGS

Top 21,501

in Total Papers Downloads

2,832

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

(Re)Introducing the K-Ratio

Number of pages: 10 Posted: 11 Mar 2013
Lars N. Kestner
Independent
Downloads 1,012 (26,919)
Citation 1

Abstract:

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2.

Replicating CTA Positioning: An Improved Method

Number of pages: 12 Posted: 01 Oct 2020
Lars N. Kestner
Independent
Downloads 589 (56,220)

Abstract:

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Trend following, managed futures

3.

My Top 8 Peeves

Number of pages: 6 Posted: 31 Mar 2014 Last Revised: 04 Jul 2014
Lars N. Kestner
Independent
Downloads 443 (79,864)

Abstract:

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Peeves

4.

Preferred Portfolios: An Improved Blueprint to Construct Multi Strategy Portfolios

Number of pages: 18 Posted: 24 Apr 2020
Lars N. Kestner
Independent
Downloads 287 (129,803)

Abstract:

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Quantitative Trading, Portfolio Construction, Benefits of Diversification

5.

Does Skew Move with Spot?

Number of pages: 8 Posted: 26 Jun 2012
Lars N. Kestner
Independent
Downloads 144 (245,004)

Abstract:

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volatility skew, implied volatility, volatility surface, single stock options

6.

Performance Characteristics of Convex Strategies

Number of pages: 8 Posted: 28 May 2013
Lars N. Kestner
Independent
Downloads 143 (246,363)
Citation 1

Abstract:

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non-linear returns, market timing model, risk factors, convexity

7.

Diminishing Opportunities in Single Stock Volatility

Number of pages: 9 Posted: 26 Jun 2012
Lars N. Kestner
Independent
Downloads 124 (274,877)

Abstract:

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volatility arbitrage, implied volatility, relative value, single stock options

8.

The Modified Expectations Equity Curve

Number of pages: 13 Posted: 28 May 2013
Lars N. Kestner
Independent
Downloads 90 (341,386)
Citation 1

Abstract:

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equity curve, Sharpe Ratio, portfolio composition