Distributionally Robust Recovery of Omitted Factors from Forecast Residuals with Application to Interest Rate Risk Management

By Jinjun Liu, Ming-Yen Cheng

Published 2026-07-14

Everscope rating

1778.9

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Distributionally Robust Factor Recovery via Covariance Forcing. Problem types: Time Series Forecasting, Risk Management, Portfolio Optimization, Dimensionality Reduction, Factor Recovery, Optimization.

arXiv:2601.04608 · Paper rankings

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