Anish Shah

Investment Grade Modeling

Founder

Cogito

210 Broadway #201

Cambridge, MA 02139

United States

http://www.linkedin.com/in/anishrshah

Brown University - Division of Applied Mathematics

182 George St

Providence, RI 02912

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 49,836

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Top 49,836

in Total Papers Downloads

1,136

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Number of pages: 23 Posted: 09 Jun 2015 Last Revised: 24 May 2021
Anish Shah
Investment Grade Modeling
Downloads 444 (82,569)
Citation 2

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Covariance, Estimation error, Multi-factor models, Portfolio optimization, Regularization, Uncertainty

2.

Short-Term Risk and Adapting Covariance Models to Current Market Conditions

Number of pages: 9 Posted: 26 Sep 2014 Last Revised: 08 Apr 2021
Anish Shah
Investment Grade Modeling
Downloads 283 (136,402)
Citation 1

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Covariance, Factor Models, Nowcasting, Projection Algorithms

3.
Downloads 281 (137,346)
Citation 1

Uncertain Risk Parity

Shah A (2021) Uncertain risk parity. Journal of Investment Strategies 10(1), https://doi.org/10.21314/JOIS.2021.009
Number of pages: 6 Posted: 24 Jun 2019 Last Revised: 28 Jun 2021
Anish Shah
Investment Grade Modeling
Downloads 281 (136,698)
Citation 1

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Covariance, Estimation Error, Factor Models, Portfolio Construction, Regularization, Risk Parity, Uncertainty

Uncertain Risk Parity

Journal of Investment Strategies, Vol. 10, No. 1
Number of pages: 14 Posted: 30 Jun 2021
Anish Shah
Investment Grade Modeling
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covariance; estimation error; factor models; portfolio construction; regularization; risk parity; uncertainty.

4.

Easy Way to Merge Return Forecasts across Securities and Horizons

Number of pages: 2 Posted: 04 Oct 2019 Last Revised: 24 Mar 2020
Anish Shah
Investment Grade Modeling
Downloads 67 (417,518)

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forecasting, combining forecasts

5.

Portfolio Risks under Estimation Uncertainty and Price Movement

Number of pages: 25 Posted: 07 Apr 2021 Last Revised: 12 Jul 2021
Anish Shah
Investment Grade Modeling
Downloads 61 (437,977)

Abstract:

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Covariance, Estimation Error, Multi-factor Models, Risk Contributions, Risk Decomposition, Uncertainty