Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: ,  analyze eigenportfolio returns for discrete AR(1) process.  derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios.  calculate and compare their performance for various model parameters.  validate AR(1) based covariance approximation for the market data of a basket with five stocks.
['Onur Yilmaz', 'Ali N. Akansu']
I am writing a research paper on a idea Performance analysis of eigenportfolios for AR(1) process
[{"from": "human", "value": "I am writing a research paper on a idea Performance analysis of eigenportfolios for AR(1) process"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: ,  analyze eigenportfolio returns for discrete AR(1) process.  derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios.  calculate and compare their performance for various model parameters.  validate AR(1) based covariance approximation for the market data of a basket with five stocks."}]