Robert D. Stock

SBV Research

New Canaan, CT 06840

United States

SCHOLARLY PAPERS

6

DOWNLOADS

804

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  I'm currently working on optimal asset allocation strategies for robust out-of-sample performance, tail risk detection, and systematic trading algorithms.  ”

Scholarly Papers (6)

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1.

Asset Allocation Via Clustering or, Just How Useful Is My Stylebox? And Are Most Hedge Funds Really the Same?

SBV Research Working Paper, 2020
Number of pages: 25 Posted: 19 Nov 2020 Last Revised: 07 Jan 2021
Robert D. Stock
SBV Research
Downloads 340 (137,715)

Abstract:

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clustering, diversification, portfolio construction, asset allocation, hierarchical risk parity, hedge funds, asset classes, machine learning

2.

Which Factors Are Over-Owned? Or, Supply and Demand: A Possible Roadmap to Solving the Factor Timing Problem

Number of pages: 11 Posted: 22 Jan 2020
Robert D. Stock
SBV Research
Downloads 195 (240,983)

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factor premium, factor timing, factor investing, styles, CAPE, PE ratio, valuation, forecasting

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tail risk, non-Normal distributions, non-Gaussian distributions, Hermite polynomials, quantum harmonic oscillator wavefunctions, skewness, kurtosis, Gram-Charlier, downside semi-variance, downside deviation, optimization, left-tail risk, crash volatility, Amaranth

4.

The Probability Frontier or, Covariance Crunch: A New Paradigm for Mean-Variance Optimization

Number of pages: 11 Posted: 22 Jan 2020
Robert D. Stock
SBV Research
Downloads 73 (491,085)

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mean variance optimization, efficient frontier, covariance shrinkage, directional covariance

5.

Autocorrelate Your Assets or, It's Not All White Noise: A Practical Means for Generating Autocorrelated Time Series Data in Monte Carlo Simulations

Number of pages: 8 Posted: 07 Jan 2020 Last Revised: 11 Jan 2020
Robert D. Stock
SBV Research
Downloads 61 (539,297)

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autocorrelation, serial correlation, time series, monte carlo simulations, power spectral density, statistical simulation methods, time series models, simulation methods

6.

Covariance Crunch Revisited: One Year of Live Performance

SBV Research Working Paper, 2020
Number of pages: 12 Posted: 19 Nov 2020 Last Revised: 07 Jan 2021
Robert D. Stock
SBV Research
Downloads 45 (617,299)

Abstract:

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mean variance optimization, efficient frontier, covariance shrinkage, directional covariance