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When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…
Mixtures of factor analysers (MFA) models represent a popular tool for finding structure in data, particularly high-dimensional data. While in most applications the number of clusters, and especially the number of latent factors within…
Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology…
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$. The objective is not to discover a new standalone alpha factor, but to…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general…
Formula alpha mining, which generates predictive signals from financial data, is critical for quantitative investment. Although various algorithmic approaches-such as genetic programming, reinforcement learning, and large language…
Quantitative Investment, built on the solid foundation of robust financial theories, is at the center stage in investment industry today. The essence of quantitative investment is the multi-factor model, which explains the relationship…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
Performance analysis, from the external point of view of a client who would only have access to returns and holdings of a fund, evolved towards exact attribution made in the context of portfolio optimisation, which is the internal point of…
Factor models are a very efficient way to describe high dimensional vectors of data in terms of a small number of common relevant factors. This problem, which is of fundamental importance in many disciplines, is usually reformulated in…
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, in spite of the specific costs associated to shorting, or is…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…
Factor analysis (FA) and principal component analysis (PCA) are popular statistical methods for summarizing and explaining the variability in multivariate datasets. By default, FA and PCA assume the number of components or factors to be…
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…
How do evaluation systems compress multidimensional performance information into summary ratings? Using expert assessments of 9,669 professional soccer players on 28 attributes, we characterize the dimensional structure of evaluation…
This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe comprising seven long-only indices representing the market and…
This paper deals with the dynamic factor analysis problem for an ARMA process. To robustly estimate the number of factors, we construct a confidence region centered in a finite sample estimate of the underlying model which contains the true…