Related papers: Dynamic Factor Allocation Leveraging Regime-Switch…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
Accurate volatility forecasts are vital in modern finance for risk management, portfolio allocation, and strategic decision-making. However, existing methods face key limitations. Fully multivariate models, while comprehensive, are…
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
The operating status of power systems is influenced by growing varieties of factors, resulting from the developing sizes and complexity of power systems; in this situation, the modelbased methods need be revisited. A data-driven method, as…
In this paper, we focus on exploiting the group structure for large-dimensional factor models, which captures the homogeneous effects of common factors on individuals within the same group. In view of the fact that datasets in…
There has been significant attention given to developing data-driven methods for tailoring patient care based on individual patient characteristics. Dynamic treatment regimes formalize this through a sequence of decision rules that map…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We study estimation of the model parameters based on the…
We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold…
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a…
Regime-switching poses both problems and opportunities for portfolio managers. If a switch in the behaviour of the markets is not quickly detected it can be a source of loss, since previous trading positions may be inappropriate in the new…
The purpose of this article is to develop the dimension reduction techniques in panel data analysis when the number of individuals and indicators is large. We use Principal Component Analysis (PCA) method to represent large number of…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…
Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider qualitative views specified as total orders of the expected asset returns and discuss…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
Financial markets are inherently non-stationary, with shifting volatility regimes that alter asset co-movements and return distributions. Standard portfolio optimization methods, typically built on stationarity or regime-agnostic…