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Alessandro Massaad

Publications and source records attributed to Alessandro Massaad.

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The global existence of small-amplitude solutions to nonlinear Klein-Gordon equations: A study based on S. Klainerman's approach

In this thesis we explore S. Klainerman's proof on the global existence of small amplitude solutions to nonlinear Klein-Gordon equations in four space-time dimensions, as established in his paper from 1985. We consider initial data with small amplitude and compact support and aim prove the global existence and uniform decay of smooth solutions. We establish that solutions exist globally if the initial data satisfy a suitable smallness condition. Key analytical tools include generalized Sobolev norms and uniform decay estimates for the associated linear problem. The solutions exhibit a decay rate of $t^{-5/4}$, uniform in time and space. This result is achieved by combining the energy method, perturbed Klein-Gordon techniques, and Sobolev inequalities.

math.GM

Refining and Robust Backtesting of A Century of Profitable Industry Trends

We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the results outperformed benchmarks, practical implementation raises concerns about robustness and evolving market conditions. This study explores modifications addressing reliance on T-bills, alternative fallback allocations, and industry exclusions. Despite attempts to enhance adaptability through momentum signals, parameter optimization, and Walk-Forward Analysis, results reveal persistent challenges. The results highlight challenges in adapting historical strategies to modern markets and offer insights for future trend-following frameworks.

q-fin.PM