Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains ...

Regression to the mean is an important, yet commonly misunderstood, statistical law. Understanding regression to the mean is an essential mental model for successful investing.

Automated or data-driven bandwidth selection methods tend to break down in the presence of correlated errors. While this problem has previously been studied in the fixed design setting for kernel ...

In this paper, we consider a robust approach to the ultrahigh dimensional variable screening under varying coefficient models. While the existing works focusing on the mean regression function, we ...