Adaptive strategy of testing alphas in high dimensional linear factor pricing models

DOI10.1007/S11424-026-4115-1MaRDI QIDQ7321183zbMATH OpenFDO

Authors Chenxi Zhao, Ping Zhao, Long Feng, Zhaojun Wang

Publication date 28 August 2026

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11424-026-4115-1

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
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• A Test of the Efficiency of a Given Portfolio
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• High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
• High-dimensional non-parametric tests for linear asset pricing models
• High-dimensional test for alpha in linear factor pricing models with sparse alternatives
• On testing for high-dimensional white noise
• Power enhancement for testing multi-factor asset pricing models via Fisher's method
• Power enhancement in high-dimensional cross-sectional tests
• Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Two-Sample Test of High Dimensional Means Under Dependence

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