6 papers
Active Portfolio Management in Concentrated Equity Markets
Brian Ceco, Xiaofei Shi, Ting-Kam Leonard Wong
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "marke…
Adapted Optimal Transport between Filtered Gaussian Processes
Madhu Gunasingam, Ting-Kam Leonard Wong
We continue the study of adapted optimal transport in the discrete-time Gaussian setting. To this end, we introduce a space of filtered Gaussian processes where both the randomness…
Shape-constrained density estimation with Wasserstein projection
Takeru Matsuda, Ting-Kam Leonard Wong
Statistical inference based on optimal transport offers a different perspective from that of maximum likelihood, and has increasingly gained attention in recent years. In this pape…
Adapted Wasserstein Barycenters of Gaussian Processes
Madhu Gunasingam, Francesco Mattesini, Johannes Wiesel +1
We study barycenters of filtered Gaussian processes in adapted Wasserstein space. The adapted Wasserstein distance refines classical optimal transport by requiring transport plans…
A mathematical study of the excess growth rate
Steven Campbell, Ting-Kam Leonard Wong
The excess growth rate, defined as the gap in Jensen's inequality for the logarithm, is a fundamental functional in portfolio theory. In this paper, we present a mathematical study…
Macroscopic properties of equity markets: stylized facts and portfolio performance
Steven Campbell, Qien Song, Ting-Kam Leonard Wong
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and…