R. Douglas Martin

University of Washington

Professor Emeritus

Applied Mathematics & Statistics

Seattle, WA 98195

United States

SCHOLARLY PAPERS

16

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Top 26,157

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2,368

SSRN CITATIONS
Rank 46,182

SSRN RANKINGS

Top 46,182

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (16)

1.

The Fundamental Law of Active Management: Redux

Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 05 Oct 2018
Zhuanxin Ding and R. Douglas Martin
AlphaFocus Investment Research LLC and University of Washington
Downloads 534 (65,028)
Citation 3

Abstract:

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the fundamental law of active management, information coefficient, information ratio, factor model, time series, cross section

2.

Better Risk and Performance Estimates with Factor Model Monte Carlo

Journal of Risk, June 2015
Number of pages: 21 Posted: 20 Jul 2013 Last Revised: 10 Jun 2016
Yindeng Jiang and R. Douglas Martin
University of Washington Investment Management Company and University of Washington
Downloads 403 (91,308)
Citation 2

Abstract:

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risk and performance measures, estimation accuracy, short returns histories, nonnormality, factor models, model selection, bootstrap

3.

Nonparametric versus Parametric Expected Shortfall

Number of pages: 58 Posted: 15 Mar 2016 Last Revised: 08 May 2019
R. Douglas Martin and Shengyu Zhang
University of Washington and HomeStreet Bank
Downloads 323 (117,135)
Citation 3

Abstract:

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Risk, expected shortfall (ES), maximum-likelihood estimator (MLE), influence functions, estimator variance, estimator standard error.

4.

Inefficiency of Modified VaR and ES

Number of pages: 24 Posted: 20 Nov 2015
R. Douglas Martin and Rohit Arora
University of Washington and University of Texas at Austin - Red McCombs School of Business
Downloads 227 (167,763)
Citation 5

Abstract:

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Modified VaR, Modified ES, large sample estimator standard error and efficiency, delta-method

5.

Fama-French 1992 Redux with Robust Statistics

Number of pages: 103 Posted: 05 May 2017
Christopher G Green and R. Douglas Martin
Independent and University of Washington
Downloads 197 (191,605)

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Empirical asset pricing, robust statistics, Fama-French 1992

6.

Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns

Number of pages: 15 Posted: 02 Sep 2016 Last Revised: 03 Sep 2016
Yindeng Jiang and R. Douglas Martin
University of Washington Investment Management Company and University of Washington
Downloads 186 (201,597)

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Short/Unequal Return Histories, Backfilling Returns, Non-Normality

7.

Portfolio Turnover when IC is Time Varying

Number of pages: 28 Posted: 13 Feb 2018 Last Revised: 06 Jan 2020
Zhuanxin Ding, R. Douglas Martin and Chaojun Yang
AlphaFocus Investment Research LLC, University of Washington and Shanghai Jiao Tong University (SJTU)
Downloads 150 (242,159)
Citation 2

Abstract:

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turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management

8.

Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data

Number of pages: 35 Posted: 02 Oct 2017
Christopher G Green and R. Douglas Martin
Independent and University of Washington
Downloads 144 (250,280)
Citation 1

Abstract:

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outlier detection, Mahalanobis distances, robust statistics, factor models, Winsorization

9.

Standard Errors of Risk and Performance Estimators with Serially Correlated Returns

Number of pages: 58 Posted: 12 Dec 2017 Last Revised: 17 Jul 2019
Xin Chen and R. Douglas Martin
University of Washington - Department of Applied Mathematics and University of Washington
Downloads 118 (290,989)
Citation 2

Abstract:

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Risk/Performance Measure, Maximum-Likelihood Estimator (MLE), Influence Functions, Estimator Variance, Estimator Standard Error, Generalized Linear Model (GLM), Elastic Net Regularization, Serial Correlation

10.

Influence Functions for Risk and Performance Estimators

Number of pages: 32 Posted: 09 Jul 2019
HomeStreet Bank, University of Washington and University of British Columbia
Downloads 36 (538,203)

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Risk estimator, performance estimator, influence function

11.

The Azzalini Skew-t Information Matrix Evaluation and Use for Standard Error Calculations

Number of pages: 49 Posted: 05 Oct 2018
Chindhanai Uthaisaad and R. Douglas Martin
WorldQuant and University of Washington
Downloads 27 (588,914)

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skew-t distribution, expected information matrix, maximum penalized likelihood estimate, MPLE standard errors

12.

Robust Time Series Factor Models

Number of pages: 27 Posted: 16 Aug 2021
R. Douglas Martin and Daniel Xia
University of Washington and Independent Researcher
Downloads 15 (672,297)

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Robust regression, time-series factor models, bias, variance, efficiency

13.

Optimal Bias Robust Regression Psi and Rho Revisited

Number of pages: 17 Posted: 12 Aug 2021
Kjell Konis and R. Douglas Martin
University of Washington and University of Washington
Downloads 4 (758,058)

Abstract:

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Robust regression, bias robustness, eciency

14.

Tests for Differences between Least Squares and Robust Regression Coefficients

Number of pages: 48 Posted: 17 Aug 2021
Tatiana Maravina and R. Douglas Martin
Independent and University of Washington
Downloads 3 (766,052)

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robust regression, M-estimator, MM-estimator, redescending psi function, bias test

15.

Efficient Bias Robust Cross Section Factor Models

Number of pages: 38 Posted: 13 Sep 2021
R. Douglas Martin and Daniel Xia
University of Washington and Independent Researcher
Downloads 1 (786,966)

Abstract:

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Robust regression, cross-section factor models, outliers, bias, variance, MSE eciency, priced factors

16.

Inefficiency and Bias of Modified Value-at-Risk and Expected Shortfall

Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26 Posted: 04 Aug 2017
R. Douglas Martin and Rohit Arora
University of Washington and University of Texas at Austin
Downloads 0 (803,944)
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Abstract:

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modified value-at-risk (mVaR), modified expected shortfall (mES), standard error, efficiency, delta method, Basel III