Parley R Yang, Alexander Y Shestopaloff
arXiv 14 Jul 2024 · Statistics — Applications
arXiv:2407.10175 · PDF · DOI · OpenAlex · Extracted main text
We employ a Bayesian modelling technique for high dimensional cointegration estimation to construct low volatility portfolios from a large number of stocks. The proposed Bayesian framework effectively identifies sparse and important cointegration relationships amongst large baskets of stocks across various asset spaces, resulting in portfolios with reduced volatility. Such cointegration relationships persist well over the out-of-sample testing time, providing practical benefits in portfolio construction and optimization. Further studies on drawdown and volatility minimization also highlight the benefits of including cointegrated portfolios as risk management instruments.
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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 | Parley Ruogu Yang and Alexander Y Shestopaloff (2023) Bayesian Analysis of High Dimensional Vector Error Correction Model self | 0.644 | 2 | 2 | 100% |
| 2 | Gabriel Francisco Borrageiro, Nick Firoozye, and Paolo Barucca (2022) Sequential asset ranking in nonstationary time series. Association for Computing Machinery, New York, NY, USA | 0.511 | 2 | 1 | 100% |
| 3 | Yiming Peng and Vadim Linetsky (2022) Portfolio Selection: A Statistical Learning Approach. Association for Computing Machinery, New York, NY, USA | 0.511 | 2 | 1 | 100% |
| 4 | Edward Turner and Mihai Cucuringu (2023) Graph Denoising Networks: A Deep Learning Framework for Equity Portfolio Construction. Association for Computing Machinery, New… | 0.511 | 2 | 1 | 100% |
| 5 | Liu Ziyin, Kentaro Minami, and Kentaro Imajo (2022) Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction. Association for Computing Machinery, Ne… | 0.511 | 2 | 1 | 100% |
| 6 | Joshua Brodie, Ingrid Daubechies, Christine De Mol, Domenico Giannon… (2009) Sparse and stable Markowitz portfolios | 0.405 | 1 | 1 | 100% |
| 7 | Robert F. Engle and C. W. J. Granger (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing | 0.405 | 1 | 1 | 100% |
| 8 | John Van Der Hoek Robert J. Elliott and William P. Malcolm (2005) Pairs trading | 0.405 | 1 | 1 | 100% |
| 9 | Chong Liang and Melanie Schienle (2019) Determination of vector error correction models in high dimensions | 0.405 | 1 | 1 | 100% |
| 10 | Harry Markowitz (1952) Portfolio Selection | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 13 scored citations.