Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
Mehmet Caner, Marcelo C. Medeiros, Gabriel Vasconcelos
Topics & Concepts
Sharpe ratioEstimatorMathematicsPortfolioStatisticsEconometricsPortfolio optimizationResidualRegressionModern portfolio theoryEconomicsAlgorithmFinancial economicsRandom Matrices and ApplicationsStatistical Methods and InferenceSpatial and Panel Data Analysis