Byron Vickers

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

  • Princeton University - Department of Operations Research & Financial Engineering (ORFE)

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Robust Inference of Risks of Large Portfolios

Number of pages: 45 Posted: 12 Jan 2015
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
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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High dimensionality; robust inference; rank statistics; quantile statistics; risk management; covariance matrix.