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A factor-based risk model for multifactor investment strategies

This paper presents a novel, practical approach to risk management for multifactor equity investment strategies. ....

Factor Investing , Portfolio Construction , Portfolio Optimisation , Regression Analysis , Covariance Matrix , Original Research ,

Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices

This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data. ....

Monte Carlo , Covariance Matrix , Bayesian Modelling , Original Research ,

Performance measures adjusted for the risk situation (PARS)

This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual ....

Asset Management , Asset And Liability Management Alm , Covariance Matrix , Original Research , சொத்து மேலாண்மை ,

"Beyond Covariance: SICE and Kernel Based Visual Feature Representation" by Jianjia Zhang, Lei Wang et al.

Abstract
The past several years have witnessed increasing research interest on covariance-based feature representation. Originally proposed as a region descriptor, it has now been used as a general representation in various recognition tasks, demonstrating promising performance. However, covariance matrix has some inherent shortcomings such as singularity in the case of small sample, limited capability in modeling complicated feature relationship, and a single, fixed form of representation. To achieve better recognition performance, this paper argues that more capable and flexible symmetric positive definite (SPD)-matrix-based representation shall be explored, and this is attempted in this work by exploiting prior knowledge of data and nonlinear representation. Specifically, to better deal with the issues of small number of feature vectors and high feature dimensionality, we propose to exploit the structure sparsity of visual features and exemplify sparse inverse covariance es ....

Covariance Matrix , Ernel Matrix , Parse Inverse Covariance Estimate , Tructure Sparsity , Visual Representation ,