Author

Alejandro Rodriguez Dominguez

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Preprint Aug 2026

The Market's Conditioning Representation: Equilibrium, Crowding, and Convention Multiplicity

Asset-pricing models typically condition on a fixed information set. This paper endogenises the market's conditioning architecture by allowing portfolios to choose representations whose induced exposures affect prices. Capital allocated across representations determines aggregate positions and the clearing premium, whi...

Alejandro Rodriguez Dominguez · 0 citations

Preprint Sep 2026

Admissible Portfolio Optimization: Information Constraints, Conditional Efficient Frontiers, and the Price of Causal Identification

Mean--variance portfolio choice takes the conditioning information as given and optimizes over weights, so two errors about that information pass into the portfolio unseen: using variables unavailable at the decision time and treating common variation as idiosyncratic. We make the conditioning information a decision va...

Alejandro Rodriguez Dominguez · 0 citations

Preprint Aug 2026

Robustness or Crowding: Experimental Design for Trading Strategy Capacity

How much capital a trading strategy can absorb before its edge disappears is a causal question about how much is deployed, but it is answered with observational proxies that rest on incompatible assumptions. We ask what experiment would answer it instead, and show that two features of the problem interact to constrain...

Alejandro Rodriguez Dominguez, Miquel Noguer I. Alonso · 0 citations