Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models

DOI10.1016/j.jeconom.2022.03.009arXiv2002.01800OpenAlexW4281741314MaRDI QIDQ6108258

Gabriel F. R. Vasconcelos, Mehmet Caner, Marcelo C. Medeiros

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.01800

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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