A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection

DOI10.1080/07350015.2023.2174549MaRDI QIDQ6150363

Binghui Liu, Yanyuan Ma, Long Feng

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

zbMATH Keywords

multiple testinglinear factor pricing modelsymmetrized data aggregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
• Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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