Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

A robust time series basis decomposition and non-stationary trend extraction technique, known as Empirical Mode Decomposition (EMD), will be combined with Regularised Covariance Regression (RCR) to produce a novel covariance forecasting technique. EMD is designed for multiscale and adaptive time-fre...

Full description

Bibliographic Details
Main Authors: Cole Van Jaarsveldt, Gareth W. Peters, Matthew Ames, Mike Chantler
Format: Article
Language:English
Published: IEEE 2024-01-01
Series:IEEE Access
Subjects:
INDEX TERMS Risk parity
long/short equity
active fund management
portfolio optimisation
empirical mode decomposition (EMD)
singular spectrum analysis (SSA)
Online Access:https://ieeexplore.ieee.org/document/10637332/

Internet

https://ieeexplore.ieee.org/document/10637332/

Similar Items