Wehner 401Q, MS 4353
College Station, TX 77843-4218
Texas A&M University, Department of Finance
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Risk factors, Multiple tests, Beta, HML, SMB, 3-factor model, Momentum, Volatility, Skewness, Idiosyncratic volatility, Liquidity, Bonferroni, Factor zoo
Sharpe ratio, Multiple tests, Holm, BHY, Bonferroni, Strategy selection, Backtest, Haircut, Haircut Sharpe Ratio, Data Mining, Machine Learning, Higgs Boson, Trading Strategies, Out-of-Sample tests, In-Sample tests, FDR, FWER, Capital IQ, PBO
Sharpe ratio, Multiple tests, Backtest, Haircut, Trading Strategies, Out-of-Sample tests, In-Sample tests
Hedge funds, Mutual funds, Performance evaluation, EM algorithm, Fixed effects, Random effects, Regularization, Multiple testing, Bayesian
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Factors, Variable selection, Bootstrap, Data mining, Orthogonalization, Multiple testing, Predictive regressions, Fama-MacBeth, GRS, Performance evaluation, Return prediction
Multiple tests, Correlation, Incomplete data, Meta-analysis, Data mining, False discoveries, Type I error, Type II error
High-order moments, Pricing kernel, Rare disasters, Index options, Nonparametric bounds, Model diagnosis, Pseudo problem
higher order moments, pricing kernel, entropy, conditioning information, horizon dependence, model diagnosis
Product Design, Aesthetic Design, Segment Prototypicality, Brand Consistency, Categorization, Marketing Mix Effects
Parameter uncertainty, Risk factors, 10-K, Item 1a, Currency risk, Commodity risk, Interest rate risk, Recession risk, Bayesian
Performance evaluation, Mutual funds, Hedge funds, EM algorithm, Fixed effects, Random effects, Scale, AUM, Alpha
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