Caio Vigo Pereira

University of Kansas - Department of Economics

1300 Sunnyside Drive

Lawrence, KS 66045-7585

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Portfolio Efficiency with High-Dimensional Data As Conditioning Information

Number of pages: 77 Posted: 29 Sep 2020
Caio Vigo Pereira
University of Kansas - Department of Economics
Downloads 36 (502,157)

Abstract:

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Dimensionality reduction, Shrinkage, Efficient Portfolios, Principal Components Regression (PCR), Partial Least Squares (PLS), Three-Pass Regression Filter (3PRF), Ridge Regression, LASSO

2.

Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Number of pages: 35 Posted: 29 Sep 2020
Caio Vigo Pereira and Márcio Laurini
University of Kansas - Department of Economics and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 17 (614,147)

Abstract:

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Portfolio Efficiency, Conditional Information, Efficiency Tests, GEL, GMM