United States
State Street Associates
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climate change, investments, factor investing, ESG, environment, climate finance, decarbonization
Equity Investing, stock momentum, factor momentum, industry momentum, panel regression
Baum-Welch Algorithm, Euclidean Distance, Hidden Markov Model, Mahalanobis Distance, Markov process, Regime Characteristic, z-score
Calendar time, Co-occurrence, Event intensity, Event time, Information theory, Informativeness, Kullback-Leibler divergence, Kurtosis, Mahalanobis distance, Normal divergence, Pearson correlation, Relative entropy, z-score
Bayesian shrinkage, Elliptical distribution, Factor-replicating portfolio Full-scale optimization, Independent-sample error, Interval error, Kinked utility function, Non-parametric, Power utility function, Resampling, Small-sample error, Stability-adjusted return sample, Symmetrical distribution
Informativeness, Mahalanobis distance, Partial sample regression, Relevance, Similarity
inflation, hedging, investing
COVID report card, Cross-sectional regression analysis, Implied deaths, New cases, Reported deaths,
equities, investing, vulnerability, factors, quantitative methods, portfolios, risk
Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity
Binary, Central Limit Theorem, Euclidean Distance, Fit, Gaussian Decay, Information Theory, Informativeness, Kernal Regression, Mahalanobis Distance, Mean-variance Optimization, Non-binary, Partial Sample Regression, Regime Sensitive Portfolio, Relevance, Scenario Analysis, Similarity, Z-score
Autocorrelation, Co-occurrence, Divergence, Full-scale Optimization, Informativeness, Lagged Cross Correlation, Mahalanobis Distance, Mean-variance Analysis, Multi-horizon Optimal Portfolio, Parametric Optimization, Pearson Correlation, Turbulence
Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity
Bivariate normal distribution, conditional correlation, correlation asymmetry, correlation profile, exceedance correlation, full scale optimization, mean variance optimization, tail dependence
Machine learning, Stocks, Equity, Factors, Neural network, Boosted machine, Random forest
Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Scenario Analysis, Statistical Similarity
Autocorrelation, Henriksson-Merton test, Informativeness, Lagged cross-correlation, Mahalanobis distance, Partial sample regression, Relevance, Single period correlation, Statistical similarity
Fundamental risk, Leverage multiple, Leverage myth, Mean-variance analysis
Business cycle, Coincident indicator, Conference Board, KKT Index, Lagging indicator, Leading indicator, Mahalanobis distance, NBER, Robust growth, Recession, Statistical similarity, Yield curve
Event-driven observations, Informativeness, Kernel smoothing, Mahalanobis distance, Multivariate similarity, Nadaraya-Watson kernel regression, Ordinary Least Squares, Regression analysis, Relevance, Relevance-weighted average
Interpretable Machine Learning, Foreign Exchange, Investment, Prediction, Neural Network, Random Forest, Gradient Boosting Machine
climate change, ESG, investment management, factor investing, investor behavior
Auto-correlation, Cross-correlation, Excess dispersion, High-frequency estimation, Information ratio, Low-frequency estimation, Risk parity, Security market line, Sharpe ratio, Square root of time, Tracking error
Covariance matrix, Economic scenarios, Euclidean distance, Financial turbulence, Gradient descent, Mahalanobis distance, Mean reversion, Mean-variance analysis, Multivariate normal distribution, Persistence, Scale independent, Scenario analysis
Illiquidity risk, alternative investments, portfolio optimization, asset allocation, portfolio construction
Auto-correlation, Comparative statics, Cross-correlation, Excess dispersion, High-frequency estimation, Independent and identically distributed, Iso-expected return curve, Low-frequency estimation, Tracking error, Triannualized, Variance ratio
Correlation surprise, turbulence
Portfolio Management, Portfolio Construction and Revision, Risk Management, Risk Management, Portfolio Risk Management
Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation
