Doug Martin

University of Washington

Professor Emeritus

Applied Mathematics & Statistics

Dept. of Statistics

Seattle, WA 98195

United States

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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SSRN RANKINGS

Top 38,820

in Total Papers Citations

6

CROSSREF CITATIONS

8

Scholarly Papers (12)

1.

The Fundamental Law of Active Management: Redux

Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 05 Oct 2018
Zhuanxin Ding and Doug Martin
Analytic Investors and University of Washington
Downloads 444 (64,677)
Citation 3

Abstract:

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the fundamental law of active management, information coefficient, information ratio, factor model, time series, cross section

2.

Better Risk and Performance Estimates with Factor Model Monte Carlo

Journal of Risk, June 2015
Number of pages: 21 Posted: 20 Jul 2013 Last Revised: 10 Jun 2016
Yindeng Jiang and Doug Martin
University of Washington Investment Management Company and University of Washington
Downloads 352 (85,041)
Citation 2

Abstract:

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risk and performance measures, estimation accuracy, short returns histories, nonnormality, factor models, model selection, bootstrap

3.

Nonparametric versus Parametric Expected Shortfall

Number of pages: 58 Posted: 15 Mar 2016 Last Revised: 08 May 2019
Doug Martin and Shengyu Zhang
University of Washington and HomeStreet Bank
Downloads 238 (129,936)
Citation 3

Abstract:

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Risk, expected shortfall (ES), maximum-likelihood estimator (MLE), influence functions, estimator variance, estimator standard error.

4.

Inefficiency of Modified VaR and ES

Number of pages: 24 Posted: 20 Nov 2015
Doug Martin and Rohit Arora
University of Washington and University of Washington
Downloads 172 (175,305)
Citation 3

Abstract:

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Modified VaR, Modified ES, large sample estimator standard error and efficiency, delta-method

5.

Fama-French 1992 Redux with Robust Statistics

Number of pages: 103 Posted: 05 May 2017
Christopher G Green and Doug Martin
Independent and University of Washington
Downloads 162 (184,475)

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Empirical asset pricing, robust statistics, Fama-French 1992

6.

Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data

Number of pages: 35 Posted: 02 Oct 2017
Christopher G Green and Doug Martin
Independent and University of Washington
Downloads 119 (236,236)

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outlier detection, Mahalanobis distances, robust statistics, factor models, Winsorization

7.

Portfolio Turnover when IC is Time Varying

Number of pages: 27 Posted: 13 Feb 2018 Last Revised: 28 May 2019
Zhuanxin Ding, Doug Martin and Chaojun Yang
Analytic Investors, University of Washington and Shanghai Jiao Tong University (SJTU)
Downloads 89 (287,905)
Citation 1

Abstract:

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turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management

8.

Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns

Number of pages: 15 Posted: 02 Sep 2016 Last Revised: 03 Sep 2016
Yindeng Jiang and Doug Martin
University of Washington Investment Management Company and University of Washington
Downloads 84 (298,411)

Abstract:

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Short/Unequal Return Histories, Backfilling Returns, Non-Normality

9.

Standard Errors of Risk and Performance Estimators with Serially Correlated Returns

Number of pages: 58 Posted: 12 Dec 2017 Last Revised: 17 Jul 2019
Xin Chen and Doug Martin
University of Washington - Department of Applied Mathematics and University of Washington
Downloads 64 (350,599)
Citation 2

Abstract:

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Risk/Performance Measure, Maximum-Likelihood Estimator (MLE), Influence Functions, Estimator Variance, Estimator Standard Error, Generalized Linear Model (GLM), Elastic Net Regularization, Serial Correlation

10.

Influence Functions for Risk and Performance Estimators

Number of pages: 32 Posted: 09 Jul 2019
HomeStreet Bank, University of Washington and University of British Columbia
Downloads 10 (586,827)

Abstract:

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Risk estimator, performance estimator, influence function

11.

The Azzalini Skew-t Information Matrix Evaluation and Use for Standard Error Calculations

Number of pages: 49 Posted: 05 Oct 2018
Chindhanai Uthaisaad and Doug Martin
WorldQuant and University of Washington
Downloads 10 (586,827)

Abstract:

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skew-t distribution, expected information matrix, maximum penalized likelihood estimate, MPLE standard errors

12.

Inefficiency and Bias of Modified Value-at-Risk and Expected Shortfall

Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26 Posted: 04 Aug 2017
Doug Martin and Rohit Arora
University of Washington and University of Texas at Austin
Downloads 0 (673,801)
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Abstract:

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modified value-at-risk (mVaR), modified expected shortfall (mES), standard error, efficiency, delta method, Basel III