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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/4154

Title: Portfolios and the market geometry
Authors: Eleutério, Samuel
Araújo, Tanya
Mendes, R. Vilela
Keywords: Return correlations
Market geometry
Issue Date: 2012
Publisher: ISEG - Departamento de Economia
Citation: Eleutério, Samuel, Tanya Araújo and R. Vilela Mendes. 2012. "Portfolios and the market geometry". Instituto Superior de Economia e Gestão - DE working papers nº09-2012/DE/UECE
Series/Report no.: DE working papers;09/2012/DE/UECE
Abstract: 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.
URI: http://hdl.handle.net/10400.5/4154
ISSN: 0874-4548
Publisher version: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=251482&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2012&_request_checksum_=83f974b811dca5fb7beff88e67e5772b925b75c9
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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