Edward E. Qian

PanAgora Asset Management

470 Atlantic Avenue, 8th Floor

Boston, MA 02210

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 10,840

SSRN RANKINGS

Top 10,840

in Total Papers Downloads

4,281

CITATIONS
Rank 22,684

SSRN RANKINGS

Top 22,684

in Total Papers Citations

28

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 1,841 (8,236)

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 1,499 (11,303)
Citation 26

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 595 (44,126)
Citation 1

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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 346 (85,631)

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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