Publications by Urban Ulrych | EPFL Graph Search

Global currency hedging with ambiguity

Utilizing a robust mean–variance model that incorporates smooth ambiguity preferences, we derive a closed-form solution for the optimal currency exposure. Within this theoretical framework, the demand for optimal currency hedging is formulated as the solut ...

2025

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Accelerated American option pricing with deep neural networks

Urban Ulrych

Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing methods is cruci ...

AMER INST MATHEMATICAL SCIENCES-AIMS2023

Sparse and stable international portfolio optimization and currency risk management

Urban Ulrych

This paper introduces a sparse and stable optimization approach for multi-currency asset allocation, aiming to improve portfolio performance and currency risk management. We demonstrate that the widespread industry practice of employing currency overlay st ...

ELSEVIER SCI LTD2023