Portfolios and the market geometry
| Autor: | R. Vilela Mendes, Samuel Eleutério, Tanya Araújo |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Statistics and Probability
Series (mathematics) Geometric analysis Return correlations Market Geometry Portfolios FOS: Physical sciences Pattern Formation and Solitons (nlin.PS) Space (commercial competition) Condensed Matter Physics Linear subspace Nonlinear Sciences - Pattern Formation and Solitons FOS: Economics and business Return time Portfolio Management (q-fin.PM) Dimension (vector space) Econometrics Eigenvalues and eigenvectors Quantitative Finance - Portfolio Management Mathematics |
| Popis: | A geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space of small dimension. Here we have explored subspaces of this space to find out the relative performance of portfolios formed from the companies that have the largest projections in each one of the subspaces. It was found that the best performance portfolios are associated to some of the small eigenvalue subspaces and not to the dominant directions in the distances matrix. This occurs in such a systematic fashion over an extended period (1990-2008) that it may not be a statistical accident. 13 pages 12 figures |
| Databáze: | OpenAIRE |
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