Enhancing a Risk Model by Adding Transient Statistical Factors

By Alexandros E. Tzikas, Emmanuel J. Candès, Trevor Hastie, Stephen P. Boyd, Mykel J. Kochenderfer, Ronald N. Kahn

Published 2026-05-13

Everscope rating

1986.2

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Weighted Gaussian Log-Likelihood EM for Factor Model Extension. Problem types: Risk Management, Portfolio Optimization, Dimensionality Reduction, Density Estimation.

arXiv:2605.12977 · Paper rankings

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