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04/29/2021
Generalized Linear Models with Structured Sparsity Estimators
In this paper, we introduce structured sparsity estimators in Generalize...
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02/05/2020
Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice
In this paper, we analyze maximum Sharpe ratio when the number of assets...
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11/21/2018
High Dimensional Linear GMM
This paper proposes a desparsified GMM estimator for estimating high-dim...
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12/12/2013