5 papers
Enhancing a Risk Model by Adding Transient Statistical Factors
Alexandros E. Tzikas, Emmanuel J. Candès, Trevor Hastie +3
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a fac…
Single-Asset Adaptive Leveraged Volatility Control
Nikhil Devanathan, Dylan Rueter, Stephen Boyd +6
This paper introduces a methodology for constructing a market index composed of a liquid risky asset and a liquid risk-free asset that achieves a fixed target volatility. Existing…
Adaptive Strategies for Pension Fund Management
Raphael Chinchilla, Thomas D. Rueter, Timothy R. McDade +4
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definitio…
Fitting Multilevel Factor Models
Tetiana Parshakova, Trevor Hastie, Stephen Boyd
We examine a special case of the multilevel factor model, with covariance given by multilevel low rank (MLR) matrix~\cite{parshakova2023factor}. We develop a novel, fast implementa…
Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices
Tetiana Parshakova, Trevor Hastie, Eric Darve +1
We consider multilevel low rank (MLR) matrices, defined as a row and column permutation of a sum of matrices, each one a block diagonal refinement of the previous one, with all blo…