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Found 8 papers, 0 papers with code
Sparse spanning portfolios and under-diversification with second-order stochastic dominance
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors.
Latent Factor Analysis in Short Panels
An empirical application to a large panel of monthly U. S. stock returns separates date after date systematic and idiosyncratic risks in short subperiods of bear vs. bull market based on the selected number of factors.
Eigenvalue tests for the number of latent factors in short panels
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension.
A penalized two-pass regression to predict stock returns with time-varying risk premia
We develop a penalized two-pass regression with time-varying factor loadings.
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration
While different techniques are available to model and remove the deterministic errors, there has been considerable research over the past years with respect to modelling the stochastic errors which have complex structures.
SWAG: A Wrapper Method for Sparse Learning
As a consequence, there is the need to make the outputs of machine learning algorithms more interpretable and to deliver a library of "equivalent" learners (in terms of prediction performance) that users can select based on attribute availability in order to test and/or make use of these learners for predictive/diagnostic purposes.
Wealth Effect on Portfolio Allocation in Incomplete Markets
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities.
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors.
