Risk-Based Auto-Deleveraging

By Steven Campbell, Natascha Hey, Ciamac C. Moallemi, Marcel Nutz

Published 2026-07-20

Everscope rating

1491.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

5 / 5

About this paper

Methodology: Risk-Based Optimization with ADMM and Sample-Average Approximation. Problem types: Optimization, Risk Management, Portfolio Optimization.

arXiv:2603.15963 · Code · Paper rankings

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