5 citations · 6 across the 2 of their papers we have counts for
5 papers
Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown
Lisa R. Goldberg, Saad Mouti
We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to…
The Dispersion Bias
Lisa Goldberg, Alex Papanicolaou, Alex Shkolnik
Estimation error has plagued quantitative finance since Harry Markowitz launched modern portfolio theory in 1952. Using random matrix theory, we characterize a source of bias in th…
Do Steph Curry and Klay Thompson Have Hot Hands?
Alon Daks, Nishant Desai, Lisa R. Goldberg
Star Golden State Warriors Steph Curry, Klay Thompson, and Kevin Durant are great shooters but they are not streak shooters. Only rarely do they show signs of a hot hand. This conc…
Drawdown: From Practice to Theory and Back Again
Lisa R. Goldberg, Ola Mahmoud
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed…
Minimizing Shortfall
Lisa R. Goldberg, Michael Y. Hayes, Ola Mahmoud
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese e…