Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
Fama and Kenneth R
7 Pith papers cite this work. Polarity classification is still indexing.
7
Pith papers citing it
years
2026 7verdicts
UNVERDICTED 7representative citing papers
A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.
A multi-agent LLM equity system produces statistically significant outperformance on S&P 500 stocks, with strong-buy portfolios returning +2.18% monthly versus +1.15% for the equal-weight benchmark over 19 months.
Adaptive specification search in financial machine learning produces statistically significant backtests even when no predictability exists, and a new audit using synthetic null environments plus an absolute magnitude gap can detect and quantify such spurious results.
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.
citing papers explorer
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Anatomy of the Market: A Body-Tail Test of Factor Models
Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
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Inference on Linear Regressions with Two-Way Unobserved Heterogeneity
A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.
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Signal or Noise in Multi-Agent LLM-based Stock Recommendations?
A multi-agent LLM equity system produces statistically significant outperformance on S&P 500 stocks, with strong-buy portfolios returning +2.18% monthly versus +1.15% for the equal-weight benchmark over 19 months.
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Spurious Predictability in Financial Machine Learning
Adaptive specification search in financial machine learning produces statistically significant backtests even when no predictability exists, and a new audit using synthetic null environments plus an absolute magnitude gap can detect and quantify such spurious results.
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Which Portfolios? The Construction Dependence of Factor Model Performance
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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Asymmetry PRISM: A CPU/GPU Portfolio Optimization Engine for Deadline-Bounded Institutional Rebalancing
Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.