Shomesh Chaudhuri

Massachusetts Institute of Technology

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

5

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2,860

SSRN CITATIONS
Rank 37,802

SSRN RANKINGS

Top 37,802

in Total Papers Citations

7

CROSSREF CITATIONS

9

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 1,070 (20,704)
Citation 1

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 606 (45,773)
Citation 5

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 536 (53,679)
Citation 13

Abstract:

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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: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
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 452 (66,159)

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 University - Business School (HBS), 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 196 (162,366)

Abstract:

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biotech; venture capital; healthcare finance; investments