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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4,644

SSRN CITATIONS
Rank 34,127

SSRN RANKINGS

Top 34,127

in Total Papers Citations

14

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) - Laboratory for Financial Engineering
Downloads 1,224 (21,563)
Citation 2

Abstract:

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

2.

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) - Laboratory for Financial Engineering
Downloads 1,182 (22,796)
Citation 1

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

3.

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) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,062 (26,571)
Citation 6

Abstract:

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

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) - Laboratory for Financial Engineering
Downloads 699 (47,440)
Citation 20

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) - Laboratory for Financial Engineering, 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 283 (138,370)

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biotech; venture capital; healthcare finance; investments

Financing Vaccines for Global Health Security

Number of pages: 38 Posted: 11 May 2020 Last Revised: 28 Sep 2021
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) - Laboratory for Financial Engineering
Downloads 147 (253,137)

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vaccines fund, emerging infectious diseases, healthcare finance

Financing Vaccines for Global Health Security

Number of pages: 39 Posted: 26 May 2020 Last Revised: 08 Nov 2021
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) - Laboratory for Financial Engineering
Downloads 22 (656,540)

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7.

Bayesian Adaptive Clinical Trials for AntiÔÇÉInfective Therapeutics During Epidemic Outbreaks

Number of pages: 35 Posted: 18 May 2020 Last Revised: 06 Nov 2021
Shomesh Chaudhuri, Andrew W. Lo, Danying Xiao and Qingyang Xu
Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Operations Research Center
Downloads 25 (615,699)

Abstract:

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