1 citations · 2 across the 5 of their papers we have counts for
6 papers
Principal component error in high-dimensional factor models
Alex Bernstein, Lisa R. Goldberg, Nicholas Gunther +4
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of principal directions, the true drivers of co-movement of a…
The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
Alec Kercheval, Ololade Sowunmi
We study the long-only minimum variance (LOMV) portfolio under a one-factor covariance model with asset betas of arbitrary sign. We provide an explicit solution in terms of the set…
Understanding the Long-Only Minimum Variance Portfolio
Nick L. Gunther, Alec N. Kercheval, Ololade Sowunmi
For a covariance matrix coming from a factor model of returns, we investigate the relationship between the long-only global minimum variance portfolio and the asset exposures to th…
Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)
Hubeyb Gurdogan, Alec Kercheval
Portfolio managers faced with limited sample sizes must use factor models to estimate the covariance matrix of a high-dimensional returns vector. For the simplest one-factor market…
Erratum for "Denjoy Minimal Sets are Far from Affine"
Alec N. Kercheval
Theorem 2 of A. Kercheval, "Denjoy minimal sets are far from affine", Ergodic Theory and Dynamical Systems 22 (2002), 1803-1812 is corrected by adding a C^2 bound to the hypotheses…
Optimal intervention in the foreign exchange market when interventions affect market dynamics
Alec N. Kercheval, Juan F. Moreno
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work d…