3 papers
q-fin.PM2020
Refined model of the covariance/correlation matrix between securities
Sebastien Valeyre
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…
q-fin.RM2019
The Reactive Beta Model
Sebastien Valeyre, Denis S. Grebenkov, Sofiane Aboura
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we deriv…
q-fin.TR2018
Emergence of correlations between securities at short time scales
S. Valeyre, D. S. Grebenkov, S. Aboura
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eige…