Edward E. Qian

PanAgora Asset Management

470 Atlantic Avenue, 8th Floor

Boston, MA 02210

United States

  • PanAgora Asset Management

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    • Tel: 617-439-6327
SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 30,861

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8

CROSSREF CITATIONS

24

Scholarly Papers (8)

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1.

Contextual Fundamentals, Models, and Active Management

Number of pages: 44 Posted: 16 Mar 2005
Eric H. Sorensen, Ronald Hua and Edward E. Qian
PanAgora Asset Management, PanAgora Asset Management and PanAgora Asset Management
Downloads 2,157 (12,489)
Citation 1

Abstract:

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active management, contextual analysis, and equity alpha model

2.

On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up

Downloads 1,858 (15,825)
Citation 38

On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up

Number of pages: 22 Posted: 23 Mar 2005
Edward E. Qian
PanAgora Asset Management
Downloads 1,858 (15,565)
Citation 38

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Risk management, risk budgeting, VaR contribution

On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006
Posted: 29 Nov 2006
Edward E. Qian
PanAgora Asset Management

Abstract:

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risk management, risk budgeting, risk contribution, VaR contribution

3.

A Mathematical and Empirical Analysis of Rebalancing Alpha

Journal of Portfolio Management, Forthcoming
Number of pages: 43 Posted: 31 Dec 2014
Edward E. Qian
PanAgora Asset Management
Downloads 816 (52,625)

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Portfolio rebalancing, Rebalancing alpha, Volatility effect, Return effect

4.

To Rebalance or Not to Rebalance: A Statistical Comparison of Terminal Wealth of Fixed-Weight and Buy-and-Hold Portfolios

Number of pages: 63 Posted: 01 Mar 2014
Edward E. Qian
PanAgora Asset Management
Downloads 798 (54,217)
Citation 2

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Portfolio Choice, Rebalancing Return

5.

Protecting the Downside of Trend When It's Not Your Friend

The Journal of Portfolio Management (2019), https://doi.org/10.3905/jpm.2019.1.087
Posted: 23 Jul 2019
Kun Yang, Edward E. Qian and Bryan Belton
PanAgora Asset Management, PanAgora Asset Management and PanAgora Asset Management

Abstract:

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trend-following, Managed Futures, CTA, hedge funds, portfolio construction, risk management

6.

The Triumph of Mediocrity: A Case Study of 'Naïve Beta'

Journal of Portfolio Management, Forthcoming
Posted: 07 Apr 2015
Edward E. Qian, Nicholas Alonso and Mark A. Barnes
PanAgora Asset Management, PanAgora Asset Management and PanAgora Asset Management, Inc.

Abstract:

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Portfolio Theory, Naive Beta

7.

On the Holy Grail of 'Upside Participation and Downside Protection'

Journal of Portfolio Management, Forthcoming
Posted: 17 Nov 2014 Last Revised: 01 Feb 2015
Edward E. Qian
PanAgora Asset Management

Abstract:

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Participation ratio, portfolio choice

8.

Optimal Trading Strategy with Optimal Horizon

Journal Of Investment Management (JOIM), Third Quarter 2008
Posted: 07 Oct 2008 Last Revised: 19 Oct 2010
Edward E. Qian
PanAgora Asset Management

Abstract:

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Optimal trading, trading horizon, portfolio management