Bosancic Nie Mulvey 2024
“Regime-Aware Factor Allocation with Optimal Feature Selection” by T. Bosancic, Y. Nie and J. Mulvey, published in the Journal of Financial Data Science (2024, 6(3):10-37). It applies statistical jump models with feature selection to conduct regime analysis on long-only equity factor portfolios, demonstrating the flexibility of jump models in accommodating regime-dependent features. It is a direct predecessor of Shu and Mulvey 2024 Dynamic Factor Allocation and appears in this vault as part of the Princeton ORFE / Kolm-Lindström jump-model research strand whose internal cross-citation limits how far any one result can be treated as independently replicated.
Connections
- Shu and Mulvey 2024 Dynamic Factor Allocation — relates, immediate predecessor in the same regime-aware factor-allocation line, source: https://arxiv.org/html/2410.14841v1
- Statistical Jump Model — proposes_model, applies the jump model with optimal feature selection to factor portfolios, source: https://arxiv.org/html/2410.14841v1
- John Mulvey — relates, co-author, source: https://arxiv.org/html/2410.14841v1