{"paper":{"title":"Enhancing a Risk Model by Adding Transient Statistical Factors","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF","q-fin.RM","q-fin.ST","stat.ML"],"primary_cat":"stat.AP","authors_text":"Alexandros E. Tzikas, Emmanuel J. Cand\\`es, Mykel J. Kochenderfer, Ronald N. Kahn, Stephen P. Boyd, Trevor Hastie","submitted_at":"2026-05-13T04:15:24Z","abstract_excerpt":"Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two components: the first attributed to a small number of factors that are common among the assets and the second attributed to the idiosyncratic behavior of each asset. Third-party providers typically provide risk models to investors, and while these models are typically of high quality, they may fail to capture important information, e.g., changing market regimes"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.12977","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}