2 citations · 2 across the 2 of their papers we have counts for
3 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…
The mosaic permutation test: an exact and nonparametric goodness-of-fit test for factor models
Asher Spector, Rina Foygel Barber, Trevor Hastie +2
Financial firms often rely on fundamental factor models to explain correlations among asset returns and manage risk. Yet after major events, e.g., COVID-19, analysts may reassess w…
Markowitz Portfolio Construction at Seventy
Stephen Boyd, Kasper Johansson, Ronald Kahn +2
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation…