Edward E. Qian

PanAgora Asset Management

470 Atlantic Avenue, 8th Floor

Boston, MA 02210

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 11,446

SSRN RANKINGS

Top 11,446

in Total Papers Downloads

4,513

SSRN CITATIONS
Rank 25,765

SSRN RANKINGS

Top 25,765

in Total Papers Citations

6

CROSSREF CITATIONS

26

Scholarly Papers (8)

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 1,920 (8,747)

Abstract:

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active management, contextual analysis, and equity alpha model

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 1,549 (12,070)
Citation 34

Abstract:

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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.
Downloads 634 (45,145)
Citation 2

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Portfolio Choice, Rebalancing Return

4.

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 410 (77,801)

Abstract:

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Portfolio rebalancing, Rebalancing alpha, Volatility effect, Return effect

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.

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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