Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

• Shomesh E. Chaudhuri

  Shomesh E. Chaudhuri

  http://orcid.org/0000-0002-4141-570X

  MIT Department of Electrical Engineering and Computer Science, MIT Laboratory for Financial Engineering, Cambridge, Massachusetts 02139-4307;

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• Andrew W. Lo

  Andrew W. Lo

  http://orcid.org/0000-0003-2944-7773

  MIT Sloan School of Management, MIT Laboratory for Financial Engineering, MIT Computer Science and Artificial Intelligence Laboratory, Cambridge, Massachusetts 02142;Santa Fe Institute, Santa Fe, New Mexico 87501

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