Improving Estimation of Portfolio Risk Using New Statistical Factors
X Liu, J Guerard, R Chen, R Tsay - arXiv preprint arXiv:2409.17182, 2024 - arxiv.org
Searching for new effective risk factors on stock returns is an important research topic in
asset pricing. Factor modeling is an active research topic in statistics and econometrics, with …
asset pricing. Factor modeling is an active research topic in statistics and econometrics, with …
Portfolio Risk Management with Simplectica Covariance Matrix
J Thaeler - Available at SSRN 4453479, 2023 - papers.ssrn.com
In investment portfolio management, every investor generally wishes to obtain the highest
possible expected returns for a given level of risk, as represented by the volatility of the …
possible expected returns for a given level of risk, as represented by the volatility of the …