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) |
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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 | |
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 |
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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