arXiv 6 Aug 2019 · Finance — Portfolio Management · 1 citations (OpenAlex)
arXiv:1908.02101 · PDF · DOI · OpenAlex · Extracted main text
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic to data structure and only describe linear pairwise relationships, we introduce a tensor-valued approach to model the global risks shared by multiple interest rate curves. In this way, the estimated risk factors can be analytically decomposed into maturity-domain and country-domain constituents, which allows the investor to devise rigorous and tractable global portfolio management and hedging strategies tailored to each risk domain. An empirical analysis confirms the existence of global risk factors shared by eight developed economies, and demonstrates their ability to compactly describe the global macroeconomic environment.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | I. Kisil, B. Scalzo Dees, A. Moniri, G. G. Calvi, and D. P. Mandic,… HOTTBOX: Higher Order Tensor ToolBOX | 0.644 | 2 | 2 | 100% |
| 2 | T. G. Kolda and B. W. Bader, “Tensor Decompositions and Applications… (2009) Tensor Decompositions and Applications | 0.644 | 2 | 2 | 100% |
| 3 | A. Cichocki, D. P. Mandic, A. H. Phan, C. F. Caiafa, G. Zhou, Q. Zha… (2015) Tensor Decompositions for Signal Processing Applications | 0.644 | 2 | 2 | 100% |
| 4 | B. Scalzo Dees and D. P. Mandic, “A Statistically Identifiable Model… (2019) A Statistically Identifiable Model for Tensor-Valued Gaussian Random Variables | 0.644 | 2 | 2 | 100% |
| 5 | “PCA Unleashed,” Research Report, Credit Suisse (2015) PCA Unleashed | 0.405 | 1 | 1 | 100% |
| 6 | L. De Lathauwer, B. D. Moor, and J. Vandewalle, “A Multilinear Singu… (2000) A Multilinear Singular Value Decomposition | 0.405 | 1 | 1 | 100% |
| 7 | J. Driessen, B. Melenberg, and T. Nijman, “Common Factors in Interna… (2003) Common Factors in International Bond Returns | 0.405 | 1 | 1 | 100% |
| 8 | B. Flury, Common Principal Components and Related Multivariate Model… (1988) | 0.405 | 1 | 1 | 100% |
| 9 | P. D. Hoff, “Separable Covariance Arrays via the Tucker Product, wit… (2011) Separable Covariance Arrays via the Tucker Product, with Applications to Multivariate Relational Data | 0.405 | 1 | 1 | 100% |
| 10 | I. T. Jolliffe, Principal Component Analysis. 1em plus 0.5em minus 0… (1986) | 0.405 | 1 | 1 | 100% |
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