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cross section of stock returns, trading diversification, factor zoo
Portfolio choice, estimation error, shrinkage intensity, bootstrap
Risk-return relation, factor timing, transaction costs, trading diversification, estimation error, sentiment.
parameter uncertainty, mean-variance portfolio, shrinkage
estimation error, shrinkage portfolios, trading costs, out-of-sample performance
trading costs, mean-variance utility, statistical test.
Sentiment, anomalies, risk, behavioral finance
Portfolio optimization, Implementation Shortfall, Time-series models.
Shrinkage, sentiment, parameter uncertainty
capacity of quantitative strategies, crowding, price impact.
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capacity of quantitative strategies, Competition, price impact
