Sonam Srivastava

Wright Research

Mumbai, 400098

India

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 21,151

SSRN RANKINGS

Top 21,151

in Total Papers Downloads

2,496

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy

Number of pages: 21 Posted: 20 Mar 2018 Last Revised: 23 Feb 2020
Sonam Srivastava and Ritabrata Bhattacharyya
Wright Research and WorldQuant University
Downloads 877 (29,032)
Citation 2

Abstract:

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Markov Switching Auto Regression, Regime Switching Model, Systematic Strategy, Technical Analysis, Alpha Generation, Markov Model, Asset Allocation

2.

A Multi Strategy Approach to Trading Foreign Exchange Futures

Number of pages: 26 Posted: 28 Jan 2019 Last Revised: 05 Feb 2019
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.

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

4.

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

5.

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

6.

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