George Papanicolaou

Stanford University - Department of Mathematics

Building 380

Stanford, CA 94305

United States

SCHOLARLY PAPERS

2

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Top 34,867

in Total Papers Downloads

2,726

SSRN CITATIONS

4

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0

Scholarly Papers (2)

1.

Risk Control of Mean-Reversion Time in Statistical Arbitrage

Risk and Decision Analysis, vol. 6, no. 4, pp. 263-290, 2017
Number of pages: 52 Posted: 14 Nov 2016 Last Revised: 03 Feb 2018
Joongyeub Yeo and George Papanicolaou
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Downloads 1,466 (24,719)
Citation 3

Abstract:

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mean-reversion time, statistical arbitrage, portfolio selection, market neutrality, principal components, factor models, residuals

2.

Principal Eigenportfolios for U.S. Equities

Number of pages: 52 Posted: 11 Dec 2020 Last Revised: 21 Jul 2022
New York University (NYU) - Courant Institute of Mathematical Sciences, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, North Carolina State University - Department of Mathematics and Stanford University - Department of Mathematics
Downloads 1,260 (30,911)
Citation 4

Abstract:

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Eigenportfolios, Principal Component Analysis, Tensor Decomposition