SEMINAIRE LABO - Ruixun Zhang

Ruixun Zhang[Department of Financial Mathematics, Peking University, affiliated among others to the MIT Laboratory for Financial Engineering]
We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impact-ranked assets using induced order statistics and copulas. The distribution of induced order statistics can be represented by a mixture of order statistics and uniformly distributed random variables, where the mixture function is determined by the dependence structure between residual returns and impact factors characterized by copulas and the marginal distribution of residual returns.

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