{"id":"https://openalex.org/W4285801994","doi":"https://doi.org/10.1137/20m1383501","title":"Principal Eigenportfolios for U.S. Equities","display_name":"Principal Eigenportfolios for U.S. Equities","publication_year":2022,"publication_date":"2022-07-18","ids":{"openalex":"https://openalex.org/W4285801994","doi":"https://doi.org/10.1137/20m1383501"},"language":"en","primary_location":{"id":"doi:10.1137/20m1383501","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1383501","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5105782755","display_name":"Marco Avellaneda","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Marco Avellaneda","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043858638","display_name":"Brian C. Healy","orcid":"https://orcid.org/0000-0001-5272-2425"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Brian Healy","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5091318917","display_name":"Andrew C. Papanicolaou","orcid":"https://orcid.org/0000-0002-5543-1268"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Andrew Papanicolaou","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5111404054","display_name":"George Papanicolaou","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"George Papanicolaou","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5105782755"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.2192,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.80005238,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"13","issue":"3","first_page":"702","last_page":"744"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.9915000200271606,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.665250837802887},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6346087455749512},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.6019299626350403},{"id":"https://openalex.org/keywords/principal-component-analysis","display_name":"Principal component analysis","score":0.6000876426696777},{"id":"https://openalex.org/keywords/market-portfolio","display_name":"Market portfolio","score":0.582485020160675},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5499800443649292},{"id":"https://openalex.org/keywords/factor-analysis","display_name":"Factor analysis","score":0.523563802242279},{"id":"https://openalex.org/keywords/eigenvalues-and-eigenvectors","display_name":"Eigenvalues and eigenvectors","score":0.49016866087913513},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.46917158365249634},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4125683009624481},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.31957247853279114},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.31421470642089844},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.30315589904785156}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.665250837802887},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6346087455749512},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.6019299626350403},{"id":"https://openalex.org/C27438332","wikidata":"https://www.wikidata.org/wiki/Q2873","display_name":"Principal component analysis","level":2,"score":0.6000876426696777},{"id":"https://openalex.org/C2777302077","wikidata":"https://www.wikidata.org/wiki/Q1321921","display_name":"Market portfolio","level":3,"score":0.582485020160675},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5499800443649292},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.523563802242279},{"id":"https://openalex.org/C158693339","wikidata":"https://www.wikidata.org/wiki/Q190524","display_name":"Eigenvalues and eigenvectors","level":2,"score":0.49016866087913513},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.46917158365249634},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4125683009624481},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.31957247853279114},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.31421470642089844},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.30315589904785156},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/20m1383501","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1383501","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure","score":0.5600000023841858}],"awards":[{"id":"https://openalex.org/G5879516121","display_name":null,"funder_award_id":"DMS-1907518","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W789466271","https://openalex.org/W1520752838","https://openalex.org/W1963826206","https://openalex.org/W1971523416","https://openalex.org/W1975395389","https://openalex.org/W1975570699","https://openalex.org/W1989576509","https://openalex.org/W1995201905","https://openalex.org/W1999945375","https://openalex.org/W2010681793","https://openalex.org/W2013912476","https://openalex.org/W2014165366","https://openalex.org/W2024165284","https://openalex.org/W2056776140","https://openalex.org/W2060581589","https://openalex.org/W2062125287","https://openalex.org/W2066459155","https://openalex.org/W2077103841","https://openalex.org/W2089794108","https://openalex.org/W2099551908","https://openalex.org/W2106084579","https://openalex.org/W2118396852","https://openalex.org/W2119412403","https://openalex.org/W2135282243","https://openalex.org/W2165918462","https://openalex.org/W2465951961","https://openalex.org/W2541919214","https://openalex.org/W2626872000","https://openalex.org/W2912500072","https://openalex.org/W2913463434","https://openalex.org/W2938549779","https://openalex.org/W2950381474","https://openalex.org/W3013580464","https://openalex.org/W3104363895","https://openalex.org/W3121499261","https://openalex.org/W3121682558","https://openalex.org/W3122035786","https://openalex.org/W3122594204","https://openalex.org/W4206563096","https://openalex.org/W4239488419","https://openalex.org/W4245184373","https://openalex.org/W4385795614"],"related_works":["https://openalex.org/W2609647630","https://openalex.org/W2594924659","https://openalex.org/W2946179443","https://openalex.org/W70908151","https://openalex.org/W1996987792","https://openalex.org/W2086332559","https://openalex.org/W1996343267","https://openalex.org/W3122402832","https://openalex.org/W2127767263","https://openalex.org/W3145931736"],"abstract_inverted_index":{"We":[0,40,65,112,205],"analyze":[1],"portfolios":[2,17],"constructed":[3,122],"from":[4,120,162,167],"the":[5,9,19,37,45,71,75,81,102,105,109,155,158,163,177,180,198,211],"principal":[6,30,139,187],"eigenvector":[7,73],"of":[8,49,74,83,101,151,157,179,197,223],"equity":[10],"returns'":[11],"correlation":[12,76,164],"matrix":[13,60,77],"and":[14,61,108,203],"compare":[15],"these":[16,207],"with":[18,53,98,174],"capitalization":[20],"weighted":[21],"market":[22,38,84,110,199],"portfolio.":[23,39,111],"It":[24],"is":[25,78],"well":[26],"known":[27],"empirically":[28],"that":[29,189,194],"eigenportfolios":[31,188],"are":[32,95,126,144,170,217],"a":[33,50,58,62,138,148,220],"good":[34],"proxy":[35],"for":[36,147,184],"quantify":[41],"this":[42,69,99,115],"property":[43],"through":[44],"large-dimensional":[46],"asymptotic":[47],"analysis":[48,100],"spike":[51],"model":[52],"diverging":[54],"top":[55,72,106],"eigenvalue,":[56],"comprising":[57],"rank-one":[59],"random":[63],"matrix.":[64,165],"show":[66],"that,":[67],"in":[68,137],"limit,":[70],"close":[79],"to":[80,154,176,210],"vector":[82],"betas":[85],"divided":[86],"componentwise":[87],"by":[88],"returns":[89,93,193,209],"standard":[90],"deviation.":[91],"Historical":[92],"data":[94],"generally":[96],"consistent":[97],"correspondence":[103,116],"between":[104,201],"eigenportfolio":[107,160],"further":[113],"examine":[114],"using":[117],"eigenvectors":[118],"obtained":[119],"hierarchically":[121],"tensors":[123],"where":[124,214],"stocks":[125],"separated":[127],"into":[128],"their":[129],"respective":[130],"industry":[131],"sectors.":[132],"This":[133],"hierarchical":[134,168],"approach":[135],"results":[136],"factor":[140],"whose":[141],"portfolio":[142,200,224],"weights":[143,156],"all":[145],"positive":[146],"greater":[149],"percentage":[150,222],"time":[152,181],"compared":[153],"vanilla":[159],"computed":[161],"Returns":[166],"construction":[169],"also":[171],"more":[172,218],"robust":[173],"respect":[175],"duration":[178],"window":[182],"used":[183],"estimation.":[185],"All":[186],"we":[190],"observe":[191],"have":[192],"exceed":[195],"those":[196],"1994":[202],"2020.":[204],"attribute":[206],"excess":[208],"brief":[212],"periods":[213],"short":[215],"holdings":[216],"than":[219],"small":[221],"weight.":[225]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
