Short Positions in the First Principal Component Portfolio-Reference-Cited by-同舟云学术

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Short Positions in the First Principal Component Portfolio

Published:2018-02-15 Issue:2 Volume:22 Page:223-251
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Boyle Phelim¹,Feng Shui²,Melkuev David³,Yang Shuai⁴,Zhang Johnew⁵

Affiliation:

1. Laurier School of Business and Economics, Wilfrid Laurier University, Waterloo, Ontario, Canada

2. Department of Mathematics and Statistics, McMaster University, Hamilton, Ontario, Canada

3. Canada Pension Plan Investment Board, Toronto, Ontario, Canada

4. Department of Statistical Sciences, University of Toronto, Toronto, Ontario, Canada

5. Graduate School of Business, Columbia University, New York, New York

Funder

Society of Actuaries

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2017.1387573

Reference17 articles.

1. Sources of Outperformance in Equity Markets

2. Asymptotic Theory for Principal Component Analysis

3. Statistical arbitrage in the US equities market

4. In short supply: Short-sellers and stock returns

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1. Estimating Forward-Looking Stock Correlations from Risk Factors;Mathematics;2022-05-12

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