157 citations · 275 across the 3 of their papers we have counts for
4 papers
Supervised Similarity for Firm Linkages
Ryan Samson, Adrian Banner, Luca Candelori +9
We introduce a novel proxy for firm linkages, Characteristic Vector Linkages (CVLs). We use this concept to estimate firm linkages, first through Euclidean similarity, and then by…
Diversification, Volatility, and Surprising Alpha
Adrian Banner, Robert Fernholz, Vassilios Papathanakos +2
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-wei…
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties…
Atlas models of equity markets
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
Atlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank…