Performance analysis of eigenportfolios for AR(1) process

Onur Yilmaz; Ali Akansu

doi:10.1109/CISS.2016.7460552

Performance analysis of eigenportfolios for AR(1) process

Onur Yilmaz, Ali Akansu

Electrical and Computer Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

4 Scopus citations

Abstract

In this paper, we analyze eigenportfolio returns for discrete AR(1) process. We derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios. We calculate and compare their performance for various model parameters. We validate AR(1) based covariance approximation for the market data of a basket with five stocks.

Original language	English (US)
Title of host publication	2016 50th Annual Conference on Information Systems and Sciences, CISS 2016
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	496-499
Number of pages	4
ISBN (Electronic)	9781467394574
DOIs	https://doi.org/10.1109/CISS.2016.7460552
State	Published - Apr 26 2016
Event	50th Annual Conference on Information Systems and Sciences, CISS 2016 - Princeton, United States Duration: Mar 16 2016 → Mar 18 2016

Other

Other	50th Annual Conference on Information Systems and Sciences, CISS 2016
Country/Territory	United States
City	Princeton
Period	3/16/16 → 3/18/16

All Science Journal Classification (ASJC) codes

Computer Networks and Communications
Information Systems

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10.1109/CISS.2016.7460552

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title = "Performance analysis of eigenportfolios for AR(1) process",

abstract = "In this paper, we analyze eigenportfolio returns for discrete AR(1) process. We derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios. We calculate and compare their performance for various model parameters. We validate AR(1) based covariance approximation for the market data of a basket with five stocks.",

author = "Onur Yilmaz and Ali Akansu",

year = "2016",

month = apr,

day = "26",

doi = "10.1109/CISS.2016.7460552",

language = "English (US)",

pages = "496--499",

booktitle = "2016 50th Annual Conference on Information Systems and Sciences, CISS 2016",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

address = "United States",

note = "50th Annual Conference on Information Systems and Sciences, CISS 2016 ; Conference date: 16-03-2016 Through 18-03-2016",

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Yilmaz, O & Akansu, A 2016, Performance analysis of eigenportfolios for AR(1) process. in 2016 50th Annual Conference on Information Systems and Sciences, CISS 2016., 7460552, Institute of Electrical and Electronics Engineers Inc., pp. 496-499, 50th Annual Conference on Information Systems and Sciences, CISS 2016, Princeton, United States, 3/16/16. https://doi.org/10.1109/CISS.2016.7460552

TY - GEN

T1 - Performance analysis of eigenportfolios for AR(1) process

AU - Yilmaz, Onur

AU - Akansu, Ali

PY - 2016/4/26

Y1 - 2016/4/26

N2 - In this paper, we analyze eigenportfolio returns for discrete AR(1) process. We derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios. We calculate and compare their performance for various model parameters. We validate AR(1) based covariance approximation for the market data of a basket with five stocks.

AB - In this paper, we analyze eigenportfolio returns for discrete AR(1) process. We derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios. We calculate and compare their performance for various model parameters. We validate AR(1) based covariance approximation for the market data of a basket with five stocks.

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U2 - 10.1109/CISS.2016.7460552

DO - 10.1109/CISS.2016.7460552

M3 - Conference contribution

AN - SCOPUS:84992397293

SP - 496

EP - 499

BT - 2016 50th Annual Conference on Information Systems and Sciences, CISS 2016

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 50th Annual Conference on Information Systems and Sciences, CISS 2016

Y2 - 16 March 2016 through 18 March 2016

ER -

Performance analysis of eigenportfolios for AR(1) process

Abstract

Other

All Science Journal Classification (ASJC) codes

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