Shomesh Chaudhuri

Massachusetts Institute of Technology

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

7

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Top 15,721

in Total Papers Downloads

3,436

SSRN CITATIONS
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SSRN RANKINGS

Top 37,223

in Total Papers Citations

9

CROSSREF CITATIONS

10

Scholarly Papers (7)

1.

Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Number of pages: 30 Posted: 11 Jun 2018 Last Revised: 01 Jul 2018
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,117 (20,883)
Citation 2

Abstract:

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Investments; Performance Attribution; Portfolio Management; Alpha; Spectral Analysis

2.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 717 (39,307)
Citation 5

Abstract:

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systematic risk, factor models, investment horizon, cross-sectional pricing

3.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
Shomesh Chaudhuri, Terence Burnham and Andrew W. Lo
Massachusetts Institute of Technology, Chapman University - The George L. Argyros School of Business & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 674 (42,688)

Abstract:

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Tax-Loss Harvesting; Tax Optimization; Tax Alpha; Tax-Aware Investing

4.

Spectral Portfolio Theory

Number of pages: 44 Posted: 03 Jun 2016
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 575 (52,457)
Citation 15

Abstract:

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Portfolio Theory, Portfolio Optimization, Spectral Analysis, Cycles, Active/Passive Decomposition

5.

A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer

Number of pages: 17 Posted: 11 Dec 2018
Massachusetts Institute of Technology, Harvard University - Business School (HBS), Massachusetts Institute of Technology (MIT) - Sloan School of Management, Lyrid LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Southern California - Division of Gynecologic Oncology and University of Wisconsin - Madison - School of Medicine and Public Health
Downloads 218 (156,279)

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biotech; venture capital; healthcare finance; investments

Financing Vaccines for Global Health Security

Number of pages: 38 Posted: 11 May 2020
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 103 (290,483)

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vaccines fund, emerging infectious diseases, healthcare finance

Financing Vaccines for Global Health Security

NBER Working Paper No. w27212
Number of pages: 39 Posted: 26 May 2020
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 18 (611,530)

Abstract:

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7.

Bayesian Adaptive Clinical Trials for AntiÔÇÉInfective Therapeutics During Epidemic Outbreaks

NBER Working Paper No. w27175
Number of pages: 35 Posted: 18 May 2020
Shomesh Chaudhuri, Andrew W. Lo, Danying Xiao and Qingyang Xu
Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Operations Research Center
Downloads 14 (617,554)

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