7 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…
Efficient convex PCA with applications to Wasserstein GPCA and ranked data
Steven Campbell, Ting-Kam Leonard Wong
Convex PCA, which was introduced in Bigot et al. (2017), modifies Euclidean PCA by restricting the data and the principal components to lie in a given convex subset of a Hilbert sp…