Performance analysis of eigenportfolios for AR(1) process
Document Type
Conference Proceeding
Publication Date
4-26-2016
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.
Identifier
84992397293 (Scopus)
ISBN
[9781467394574]
Publication Title
2016 50th Annual Conference on Information Systems and Sciences Ciss 2016
External Full Text Location
https://doi.org/10.1109/CISS.2016.7460552
First Page
496
Last Page
499
Recommended Citation
Yilmaz, Onur and Akansu, Ali N., "Performance analysis of eigenportfolios for AR(1) process" (2016). Faculty Publications. 10567.
https://digitalcommons.njit.edu/fac_pubs/10567
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