Dynamic Indexes: Equity Rotation and Factor Timing
It is well understood that factor premiums, identified as contributing to portfolios risk and return, are time-varying and conditional on market phases. Besides, Amenc et al.  report…
Diversification versus optimality: is there really a diversification puzzle?
ABSTRACT In this paper, we provide a general valuation of the diversification attitude of investors. First, we empirically examine the diversification of mean-variance optimal choices in the US stock…
Was 2016 the Year of the Monkey?
According to the Chinese calendar 2016 was the year of the Monkey. In this paper, using a common set of 500 US stocks, we analyse the performance of 1 billion randomly generated stock indices (as if…
Categorical Evaluation of Alternative Index Weighting Schemes
The direction of this study is not to derive a conclusion on the superiority of single strategies from a pure risk-return perspective, but rather provide a guideline on a more accurate and…
Optimization of relative arbitrage
In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently…
Energy, entropy, and arbitrage
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is…
Cardinality versus q-norm constraints for index tracking
- Computer Science
A hybrid heuristic is employed as a flexible tool to tackle both optimization problems and the empirical analysis of real-world financial data allows us to compare the two index tracking approaches.
Sparse index clones via the sorted ℓ1-Norm
- Computer ScienceQuantitative finance
It is shown that SLOPE is capable of not only providing sparsity, but also to form groups among assets depending on their partial correlation with the index or the hedge fund return times series, and the real-world properties of SLOPE based approaches with respect to state-of-the art approaches are discussed.
Manifold feature index: A novel index based on high-dimensional data simplification
- Computer ScienceExpert Syst. Appl.
Is Smart Beta Smart? Evidence From the US and the Emerging Market Equity Markets
- BusinessSSRN Electronic Journal
This research piece will discuss the origins of this notion and its subsequent trends by explaining its primary characteristics and theoretical background. To address the primary research question,…