Anqi Xiong

New Jersey Institute of Technology

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Quant Investing in Cluster Portfolios

Journal of Investment Strategies (Risk.net) https://www.risk.net/journal-of-investment-strategies, 2020
Posted: 23 Feb 2021
Ali Akansu, Marco Avellaneda and Anqi Xiong
New Jersey Institute of Technology, New York University (NYU) - Courant Institute of Mathematical Sciences and New Jersey Institute of Technology

Abstract:

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Set partitioning, eigenportfolio, super eigenportfolio, long-only portfolio

Eigenportfolios of US Equities for the Exponential Correlation Model

Journal of Investment Strategies, Vol. 9, No. 1, 2020
Number of pages: 24 Posted: 19 Jan 2021
Ali Akansu and Anqi Xiong
New Jersey Institute of Technology and New Jersey Institute of Technology
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exponential correlation model, Toeplitz matrix, eigende composition, principal component analysis, Karhunen–Loeve transform (KLT), eigen portfolios, market portfolio, minimum variance portfolio, exchange-traded fund (ETF); Sharpe ratio, market exposure, profit and loss (P&L) curve.

Eigenportfolios of US Equities for the Exponential Correlation Model

Journal of Investment Strategies (Risk.net), 2020
Posted: 23 Feb 2021
Ali Akansu and Anqi Xiong
New Jersey Institute of Technology and New Jersey Institute of Technology

Abstract:

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Eigenportfolio, exponential correlation model, PNL, Sharpe Ratio