风险、组合与量化方法 (Risk, Portfolio & Quant Methods)
协方差估计、因子模型、趋势、波动率、组合优化、机器学习方法——把信号变成持仓的那一端。共 66 篇论文 entity。 每条格式:
「entities/页名」形式的链接 — 一句话要点。 返回: Entities 总索引 · Quant Wiki 总索引
- entities/Hendershott Livdan Rosch 2020 Asset Pricing Night and Day — 隔夜 CAPM 成立 (beta+1 → Night +14bps) 而日间反向 (beta+1 → Day −15bps)
- entities/Lou Polk Skouras 2019 Tug of War Overnight vs Intraday — 14 策略中 9 个全在日内、5 个全在隔夜; 拉锯幅度可预测未来收益 (+1% per 1 sd)
- entities/Pastor Stambaugh 2003 Liquidity Risk — 把流动性做成第二个定价因子; 十分位组合年化 alpha 7.5% (四因子); ⚠️ 理论侧不完整
- Achury Arredondo Sanchez Ascanio 2024 Filtration ARIMA Random Walk
- Adrian Shin 2010 Financial Intermediation
- Bongiorno Villassero 2026 End-to-End Neural Shrinkage Indefinite Pairwise
- Brandt Santa-Clara Valkanov 2009 BSV Parametric Portfolio Policies
- Daniel Hirshleifer Subramaniam 1998 Investor Sentiment
- Khandani Lo 2007 What Drives Reversal
- Stein 2009 Presidential Address
- Andersen Bollerslev 1997 Intraday Periodicity
- Andersen Bollerslev Diebold Labys 2003 Realized Volatility
- Armstrong, Banerjee & Corona 2013 — Factor-Loading Uncertainty
- Avramov He 2026 Cross-Asset SDF Spillover
- Barndorff-Nielsen Shephard 2004 Power Bipower Variation
- Chatterjee 2019 A New Coefficient of Correlation
- Chehab, Iacovides, Yazdanparast & Mandic 2026 - Beyond Co-Movement
- Cohen & Frazzini 2008 Customer-Supplier
- De Long Shleifer Summers Waldmann 1990 Positive Feedback
- Explainable Regime-Aware Investing 2026
- Fan Wang 2007 Multi-Scale Jump Vol
- Fanshawe Masih Cameron 2025 THGNN Correlation Forecasting
- Ferson Siegel 2001 Efficient Use of Conditioning
- Fung & Hsieh 2004 Hedge Fund Benchmarks
- Gao Han Li Zhou 2018 Market Intraday Momentum
- Cong Feng He He 2025 Growing Efficient Frontier Panel Trees
- ElenYoung AssetPanelTree
- Jeon Choi Bae Lee Kim 2026 Decision-Focused Sparse Tangent Portfolio
- Jeon Bae Kim Lee Kim 2025 Prediction Loss Guided DFL
- Bae Jeon Park Lee Kim 2025 OSCAR
- Kim M J 2016 Sparse Tangent Portfolio SDP Relaxation
- Hou 2007 Industry Information Diffusion
- Huovinen 2026 Measuring Equity Factor Uncertainty
- JDQS 2026 Intraday Variance Concentration Crash
- Jensen Kelly Pedersen 2023 Replication Crisis
- Jiang Oomen 2008 Jump Testing Noise
- Jurado Ludvigson Ng 2015 Measuring Uncertainty
- Kriuk 2026 ORCA
- Korniejczuk Slepaczuk 2024 Graph Clustering Stat Arb
- Laenen Sun 2020 Higher-Order Spectral Clustering
- Ledoit Wolf 2004 Well-Conditioned Estimator
- Ledoit Wolf 2020 Working Paper 335
- Lee Tae Lee 2024 Anatomy of Machines for Markowitz
- Lemperiere Deremble Lo 2014 Trend
- Merton 1976 Jump Diffusion
- Moreira Muir 2017 Volatility-Managed Portfolios
- Moskowitz Ooi Pedersen 2012 Time Series Momentum
- Opgen-Rhein Strimmer 2007 Shrinkage t Statistic
- Moskowitz Sabbatucci Tamoni Uhl 2025 Nonlinear TSMOM
- Patton Sheppard 2015 Good Bad Volatility
- Quantica Capital 2025 Capacity Drag
- Rahimian Mehrotra 2022 DRO Review
- Schäfer Strimmer 2005 Shrinkage Covariance Genomics
- Schmidhuber 2021 Trend Decay
- Shi Zhang Cui 2026 Spatiotemporal Composability
- So Wang Zhang 2024 Investor Corporate Visits
- So Zhang 2026 Rejoicing Regret and Stock Returns
- Steck Ekanadham Kallus 2024 Is Cosine-Similarity About Similarity
- Tsinghua 2026 Cross-Asset Spillover Network Identification
- Glosten Milgrom 1985 Specialist Market — 逆向选择定价奠基; 成交价是鞅; 价差平方 ∝ 1/n; ⚠️ 工作论文版 OCR
- Bogousslavsky 2021 Intraday Overnight Returns — 因子收益的时段归属; 规模与非流动性收益集中在收盘半小时
- Xinbo Ai 2026 Beyond Cosine Similarity
- Zhou Ethayarajh Card Jurafsky 2022 Cosine Frequency Bias
- entities/Xingye 2022 High Frequency Overview — 兴业高频系列的基础篇与框架篇; 四类信息 (分布/时序/关联/另类) 的分类判据; 高频因子 IC 半衰期比低频快约 10 天; 全市场按因子值配权的多空检验标准 (年化 >10% / 夏普 >3 / 日换手 <40%); 因子收益拆成 \lambda_p+\lambda_r 识别 Barra 之外的风险因子
- entities/Xingye 2023 High Frequency Risk Model — 把风险模型的分析对象换成高频因子组合; 5 个基本面高频风险因子 + 5 个 PCA 统计风险因子; Adjusted R^2 约 75%; 复合因子多空夏普 8.08 (Barra 基准 5.91); 加进中证1000 增强年化超额 +2-3pct
- Zhu et al 2025 Hyper-Connections