A modified hierarchical risk parity framework for portfolio management

M Molyboga - Journal of Financial Data Science, Forthcoming, 2020 - papers.ssrn.com
This paper introduces a Modified Hierarchical Risk Parity (" MHRP") approach that extends
the HRP approach by incorporating three intuitive elements commonly used by practitioners. …

The revealed preference of sophisticated investors

J Blocher, M Molyboga - European Financial Management, 2017 - Wiley Online Library
Berk and van Binsbergen (2016) have shown that the Capital Asset Pricing Model (CAPM)
best represents the revealed preferences of any investor who can invest in mutual funds (ie, …

Risk premia in Chinese commodity markets

C He, C Jiang, M Molyboga - Journal of Commodity Markets, 2019 - Elsevier
This paper investigates risk premia in Chinese commodity markets by decomposing the returns
of commodity futures into spot and term premia following Szymanowska et al. (2014). We …

Benchmarking commodity investments

J Blocher, R Cooper, M Molyboga - Journal of Futures Markets, 2018 - Wiley Online Library
While much is known about the financialization of commodities, less is known about how to
profitably invest in commodities. We develop a four‐factor asset pricing model of commodity …

Assessing hedge fund performance with institutional constraints: evidence from CTA funds

M Molyboga, S Baek, JFO Bilson - Journal of Asset Management, 2017 - Springer
Standard tests for persistence in hedge fund performance are not consistent with investment
practices because they ignore performance reporting delay, overlook fund selection …

The battle of the factors: Macroeconomic variables or investor sentiment?

DA Mascio, M Molyboga, FJ Fabozzi - Journal of Forecasting, 2023 - Wiley Online Library
This paper uses machine learning techniques to investigate whether popular macroeconomic
or sentiment factors are better at predicting stock market returns. We find that although …

Carry and Time-Series Momentum: A Match Made in Heaven

M Molyboga, J Qian, C He - The Journal of Alternative …, 2020 - search.proquest.com
This article introduces a novel approach to combining time-series momentum and carry
trade by conditioning trading signals of time-series momentum on the sign of the basis, a key …

[BOOK][B] Portfolio management with drawdown-based measures

M Molyboga, C L'Ahelec - 2017 - cmegroup.com
This paper analyzes the portfolio management implications of using drawdown-based
measures in allocation decisions. We introduce modified conditional expected drawdown (MCED)…

The moral hazard problem in hedge funds: A study of commodity trading advisors

L Cai, CC Jiang, M Molyboga - Journal of Portfolio …, 2017 - search.proquest.com
The asymmetric nature of performance-based compensation in hedge funds introduces a
moral hazard problem in which investors bear the negative consequences of fund managers' …

[HTML][HTML] A simulation-based methodology for evaluating hedge fund investments

M Molyboga, CL Ahelec - Journal of Asset Management, 2016 - Springer
This article introduces a large scale simulation framework for evaluating hedge funds’
investments subject to the realistic constraints of institutional investors. The method is …