Portfolios and the market geometry

Detalhes bibliográficos
Autor(a) principal: Eleutério, Samuel
Data de Publicação: 2012
Outros Autores: Araújo, Tanya, Mendes, R. Vilela
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/4154
Resumo: 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 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.
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spelling Portfolios and the market geometryReturn CorrelationsMarket GeometryPortfoliosA 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 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.UECE is supported by FCCN.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaEleutério, SamuelAraújo, TanyaMendes, R. Vilela2012-03-22T15:22:12Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/4154engEleutério, Samuel, Tanya Araújo and R. Vilela Mendes. 2012. "Portfolios and the market geometry". Instituto Superior de Economia e Gestão - DE Working papers nº 9-2012-DE/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:35:10Zoai:www.repository.utl.pt:10400.5/4154Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:51:52.306550Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Portfolios and the market geometry
title Portfolios and the market geometry
spellingShingle Portfolios and the market geometry
Eleutério, Samuel
Return Correlations
Market Geometry
Portfolios
title_short Portfolios and the market geometry
title_full Portfolios and the market geometry
title_fullStr Portfolios and the market geometry
title_full_unstemmed Portfolios and the market geometry
title_sort Portfolios and the market geometry
author Eleutério, Samuel
author_facet Eleutério, Samuel
Araújo, Tanya
Mendes, R. Vilela
author_role author
author2 Araújo, Tanya
Mendes, R. Vilela
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Eleutério, Samuel
Araújo, Tanya
Mendes, R. Vilela
dc.subject.por.fl_str_mv Return Correlations
Market Geometry
Portfolios
topic Return Correlations
Market Geometry
Portfolios
description 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 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.
publishDate 2012
dc.date.none.fl_str_mv 2012-03-22T15:22:12Z
2012
2012-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/4154
url http://hdl.handle.net/10400.5/4154
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Eleutério, Samuel, Tanya Araújo and R. Vilela Mendes. 2012. "Portfolios and the market geometry". Instituto Superior de Economia e Gestão - DE Working papers nº 9-2012-DE/UECE
0874-4548
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - Departamento de Economia
publisher.none.fl_str_mv ISEG - Departamento de Economia
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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