MMRL — Market Microstructure Research Lab
Independent, non-commercial quantitative research on drawdown-constrained capital allocation, tail risk in position sizing, and illiquid portfolio mandates.
Market Microstructure Research Lab is an independent, non-commercial initiative dedicated to the quantitative analysis of risk-constrained capital allocation: how much risk a portfolio can carry under a drawdown mandate, parameter uncertainty, or untradeable exposure.
Research areas
- Drawdown-Constrained Capital Allocation
- Tail Risk & Estimation Uncertainty in Position Sizing
- Illiquid & Mandate-Constrained Portfolio Design
Contact
Email: research@mmrls.com
SSRN: Author archive
LinkedIn: MMRL
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