相关论文: Enhancing a Risk Model by Adding Transient Statist…

In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…

Approving and assessing new drugs is complex because multiple criteria must be considered simultaneously. A common approach is benefit-risk analysis, often conducted within a Bayesian framework to account for uncertainty and combine data…

A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…

We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the…

The modal factor model represents a new factor model for dimension reduction in high dimensional panel data. Unlike the approximate factor model that targets for the mean factors, it captures factors that influence the conditional mode of…

A prevalent feature of high-dimensional data is the dependence among covariates, and model selection is known to be challenging when covariates are highly correlated. To perform model selection for the high-dimensional Cox proportional…

The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…

Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…

We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3)…

This paper develops estimation and inference methods for conditional quantile factor models. We first introduce a simple sieve estimation, and establish asymptotic properties of the estimators under large $N$. We then provide a bootstrap…

This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…

This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…

We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…

Economists are blessed with a wealth of data for analysis, but more often than not, values in some entries of the data matrix are missing. Various methods have been proposed to handle missing observations in a few variables. We exploit the…

This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…

We propose a dynamic multiplicative factor model for process data, which arise from complex problem-solving items, an emerging testing mode in large-scale educational assessment. The proposed model can be viewed as an extension of the…

Factor analysis is a classical data reduction technique that seeks a potentially lower number of unobserved variables that can account for the correlations among the observed variables. This paper presents an extension of the factor…

Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…

This study explores the use of Transformer-based models to predict both covariance and semi-covariance matrices for ETF portfolio optimization. Traditional portfolio optimization techniques often rely on static covariance estimates or…

We propose a fast and flexible method to scale multivariate return volatility predictions up to high-dimensions using a dynamic risk factor model. Our approach increases parsimony via time-varying sparsity on factor loadings and is able to…