Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models (Q6108258)

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scientific article; zbMATH DE number 7704457
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Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models
scientific article; zbMATH DE number 7704457

    Statements

    title
    Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models (English)
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    author
    Mehmet Caner
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    Marcelo C. Medeiros
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    publication date
    29 June 2023
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    Identifiers

    arXiv ID
    2002.01800
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    zbMATH DE Number
    7704457
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