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Statistical risk models

Kakushadze, Zura; Yu, Willie - In: The journal of investment strategies 6 (2017) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011668127

How to combine a billion alphas

Kakushadze, Zura; Yu, Willie - In: The journal of asset management 18 (2017) 1, pp. 64-80

Persistent link: https://www.econbiz.de/10011592763

Statistical industry classification

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 3 (2016) 1, pp. 17-65

Persistent link: https://www.econbiz.de/10012229122

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011410628

Can turnover go to zero?

Kakushadze, Zura - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 157-176

Persistent link: https://www.econbiz.de/10010462974

Shrinkage=factor model

Kakushadze, Zura - In: The journal of asset management 17 (2016) 2, pp. 69-72

Persistent link: https://www.econbiz.de/10011442954