Shomesh Chaudhuri

Massachusetts Institute of Technology

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 20,382

in Total Papers Downloads

2,321

CITATIONS
Rank 39,946

SSRN RANKINGS

Top 39,946

in Total Papers Citations

12

Scholarly Papers (5)

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 1,015 (21,000)

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: 57 Posted: 13 Nov 2018 Last Revised: 09 Jul 2019
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 468 (59,827)
Citation 3

Abstract:

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

3.

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 448 (63,160)
Citation 8

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

4.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 14 Posted: 03 Apr 2019 Last Revised: 27 May 2019
Shomesh Chaudhuri, Terence Burnham and Andrew W. Lo
Massachusetts Institute of Technology, Chapman University - Department of Business and Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 301 (99,831)

Abstract:

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

5.

A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer

Number of pages: 17 Posted: 11 Dec 2018
Massachusetts Institute of Technology, Harvard Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Lyrid LLC, 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 89 (284,321)

Abstract:

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biotech; venture capital; healthcare finance; investments