Fang Han

Johns Hopkins University

Baltimore, MD 20036-1984

United States

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Robust Inference of Risks of Large Portfolios

Number of pages: 45 Posted: 12 Jan 2015
Princeton University - Bendheim Center for Finance, Johns Hopkins University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
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Abstract:

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High dimensionality; robust inference; rank statistics; quantile statistics; risk management; covariance matrix.