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

DOI10.1080/07350015.2023.2174549MaRDI QIDQ6150363zbMATH OpenFDO

Authors Long Feng, Binghui Liu, Yanyuan Ma

Publication date 6 March 2024

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

Full work available at URL https://doi.org/10.1080/07350015.2023.2174549

zbMATH Keywords

multiple testinglinear factor pricing modelsymmetrized data aggregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Common risk factors in the returns on stocks and bonds
• Determining the Number of Factors in Approximate Factor Models
• Estimating false discovery proportion under arbitrary covariance dependence
• Inferential Theory for Factor Models of Large Dimensions
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach

Cited in

(1)

• Robust mutual fund selection with false discovery rate control

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