West Lafayette, IN 47907-1310
United States
http://yliu1.com
Purdue University
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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
Factors, Variable selection, Bootstrap, Data mining, Orthogonalization, Multiple testing, Predictive regressions, Fama-MacBeth, GRS, Performance evaluation, Return prediction
Sharpe ratio, Multiple tests, Backtest, Haircut, Trading Strategies, Out-of-Sample tests, In-Sample tests
Overfitting, Backtesting, Data Mining, Multiple Testing, Factor Investing, Value Investing, Momentum
Performance evaluation, Mutual funds, Hedge funds, EM algorithm, Fixed effects, Random effects, Regularization, Multiple testing, Bayesian, Rethinking Performance Evaluation
Type I, Type II, Multiple testing, False discoveries, Odds ratio, Power, Mutual funds, Smart beta, Anomalies, Bayesian, Factors, Backtesting, Factor Zoo
Multiple tests, Correlation, Incomplete data, Meta-analysis, Data mining, False discoveries, Type I error, Type II error
Alpha, Investor behavior, Hedge funds, Mutual funds, Performance evaluation, Portfolio management, Risk, Type I errors, Type II errors, Bayesian decision-making, Appraisal ratio, Flow-performance sensitivity, Idiosyncratic risk
Performance evaluation, alpha, active management, bootstrapping, market efficiency, fund management, oversampling, undersampling, Type I errors, Type II errors
yield curve, non-parametric, term structure, excess volatility, return forecasting
Performance Evaluation, Mutual Funds, Hedge Funds, EM Algorithm, Fixed Effects, Random Effects, Scale, AUM, Alpha
Mutual funds, managerial structure, diseconomies of scale, crowding, performance evaluation, decreasing returns to scale, alpha, capacity constraints, discretionary management, systematic management.
Multiple hypothesis testing, False rejections, False discovery rate, False non-discovery rate, False omission rate, Family-wise error rate, Data mining, Data snooping, Type I error, Type II error, False discovery control, Luck, Test power
p-hacking, Data mining, Anomalies, Simulations, Publication bias, Multiple testing
High-order moments, Pricing kernel, Rare disasters, Index options, Nonparametric bounds, Model diagnosis
Private Equity, Venture Capital, Fund of Funds, Fund Performance, Portfolio Choice
Beta uncertainty, Efficient esetimation, Factor models, Fama-MacBeth, GMM, Idiosyncratic risk, Systematic risk, Two-pass regression, Errors-in-variables
Present value, Structural estimation, Expectations, Extrapolation bias, Behavioral, Sentiment, Predictive regression, Discount rate, Dividend growth
Parameter uncertainty, Risk factors, 10-K, Item 1a, Currency risk, Commodity risk, Interest rate risk, Recession risk, Bayesian
Conditioning Information, Equity Risk Premium, Risk-Neutral Moments, Preferences, Entropy, Model-Free, Stochastic Discount Factor
Regulation, Risk incentives, Size thresholds, Size contingent regulation, Dodd-Frank
Risk incentives, Regulation, Size thresholds, Size contingent regulation, Dodd-Frank, Regulatory distortion, risk taking
Equity risk premium, Risk-neutral moments, Preferences, Entropy, Model-free, Stochastic Discount Factor
higher order moments, pricing kernel, entropy, conditioning information, horizon dependence, model diagnosis
Executive compensation, Stochastic volatility, Pay-for-performance sensitivity, Principal-agent problem
