@inproceedings{e59d8383580341099e48dca4d433fe50,
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.",
keywords = "Eigenportfolios, Karhunen-Loeve Transform, Market exposure, PNL, Principal component analysis, Sharpe ratio",
author = "Onur Yilmaz and Akansu, {Ali N.}",
note = "Publisher Copyright: {\textcopyright} 2016 IEEE.; 50th Annual Conference on Information Systems and Sciences, CISS 2016 ; Conference date: 16-03-2016 Through 18-03-2016",
year = "2016",
month = apr,
day = "26",
doi = "10.1109/CISS.2016.7460552",
language = "English (US)",
series = "2016 50th Annual Conference on Information Systems and Sciences, CISS 2016",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "496--499",
booktitle = "2016 50th Annual Conference on Information Systems and Sciences, CISS 2016",
address = "United States",
}