AR(1)过程特征组合性能分析

2016 Annual Conference on Information Science and Systems (CISS) Pub Date : 2016-03-16 DOI:10.1109/CISS.2016.7460552

Onur Yilmaz, A. Akansu

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引用次数: 7

摘要

本文分析了离散AR(1)过程的特征组合收益。我们导出了特征投资组合的夏普比率和市场敞口的封闭表达式。我们计算并比较了它们在不同模型参数下的性能。我们验证了基于AR(1)的协方差近似的市场数据的篮子与五个股票。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Performance analysis of eigenportfolios for AR(1) process

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.

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2016 Annual Conference on Information Science and Systems (CISS)

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