Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains optimal ...

In statistics, a mathematical method of modeling the relationships among three or more variables. It is used to predict the value of one variable given the values of the others. For example, a model ...

In this paper, we consider a robust approach to the ultrahigh dimensional variable screening under varying coefficient models. While the existing works focusing on the mean regression function, we ...

Years ago, our firm employed a junior investment analyst who left us for supposedly greener pastures. In his exit interview, he told me he was leaving in part because he was great at picking ...