Boris Gnedenko

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (5)

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1.

Dynamic Risk Allocation with Carry, Value and Momentum

An amended version is in Journal of Investment Strategies, Vol.6(1), 2016, pp.25-45
Number of pages: 55 Posted: 22 Nov 2013 Last Revised: 15 Dec 2016
Boris Gnedenko and Igor Yelnik
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 2,764 (5,311)
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Factor Investing, Risk Factor, Factor Risk Premium, Dynamic Risk Allocation, Style Timing, Style Rotation, Momentum, Value, Carry, Trend-following, Transaction Costs, Risk Parity, Bayesian Shrinkage, Alpha-beta Separation, Equity Indices, Bonds, Currencies, Commodities

2.

Reconciling Factor Optimization with Portfolio Constraints

Journal of Investment Strategies, Vol.5(3), Summer 2016, pp.39-50
Number of pages: 16 Posted: 06 Jun 2014 Last Revised: 17 Aug 2017
Boris Gnedenko and Igor Yelnik
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 613 (51,726)
Citation 1

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Factor Optimization, Risk Factor, Factor Portfolio, Alpha Factor, Portfolio Constraints, Asset Constraints, Quadratic Programming, Tracking Error, Black-Litterman Model, Consistent Investment Approach

3.

Speed and Dimensions of Trading

Journal of Investment Strategies, Vol.7(1), December 2017, pp.85-106
Number of pages: 29 Posted: 15 Mar 2016 Last Revised: 04 Jan 2018
Boris Gnedenko and Igor Yelnik
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 500 (66,871)
Citation 2

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turnover, portfolio, trading speed, trading activity, trading intensity, trading frequency, trading strategy, principal trading directions, trading dimensions, principal component analysis, entropy, volatility, Euclidian distance

4.

Hypercube in the Kitchen: Reading a Menu of Active Investment Strategies

Alternative Investment Analyst Review Q3 2018, Volume 7, Issue 3
Number of pages: 23 Posted: 12 Dec 2014 Last Revised: 21 Oct 2018
Boris Gnedenko and Igor Yelnik
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 453 (75,513)
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Active Investment, Alpha-beta Separation, Arbitrage, Efficient Market, Fund Classification, Information Processing System, Investment Skill, Investment Process, Mispricing, Risk Premia

5.

Minimum Entropy as a Measure of Effective Dimensionality

Number of pages: 9 Posted: 21 Apr 2016 Last Revised: 18 Aug 2017
Boris Gnedenko and Igor Yelnik
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 293 (123,569)
Citation 2

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entropy, eigenvalues, matrix dimensionality, effective dimensionality, effective number of trading dimensions, systemic risk, Schur convexity, majorization