Robust mutual fund selection with false discovery rate control

DOI10.1016/J.JECONOM.2025.106121MaRDI QIDQ6889432zbMATH OpenFDO

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

Publication date 4 December 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106121

zbMATH Keywords

false discovery ratehigh dimensional datamutual funds selectionspatial-sign

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Spatial-sign-based high-dimensional white noises test
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• Unexplained factors and their effects on second pass \(R\)-squared's

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