We apply the knockoff procedure to factor selection in finance. By building fake but realistic factors, this procedure makes it possible to control the fraction of false discovery in a given set of factors. To show its versatility, we apply it to fund replication and to the inference of explanatory and prediction networks
Prediction markets are considered as a promising new forecasting method that has proven high predict...
We consider the variable selection problem, which seeks to identify important variables influencin...
This paper proposes two consistent model selection procedures for factor-augmented regressions in fi...
We apply the knockoff procedure to factor selection in finance. By building fake but realistic facto...
<p>In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-ad...
Recently, the scheme of model-X knockoffs was proposed as a promising solution to address controlled...
Mimicking portfolios of economic (non-traded) factors are commonly constructed by projecting the fac...
The common approach for constructing factor mimicking portfolios is to go long in assets with high l...
Controlled variable selection is an important analytical step in various scientific fields, such as ...
Testing, in the financial markets, the hypothesis of a k latent factor structure by the methods of e...
Hedge funds have traditionally served wealthy individuals and institutional investors with the promi...
Abstract Hedge funds have traditionally served wealthy individuals and institutional investors with ...
We discuss the theoretical machinery involved in predicting financial market movements using an arti...
Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional market...
Abstract This paper proposes an original behavioural finance representative agent model, to explain ...
Prediction markets are considered as a promising new forecasting method that has proven high predict...
We consider the variable selection problem, which seeks to identify important variables influencin...
This paper proposes two consistent model selection procedures for factor-augmented regressions in fi...
We apply the knockoff procedure to factor selection in finance. By building fake but realistic facto...
<p>In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-ad...
Recently, the scheme of model-X knockoffs was proposed as a promising solution to address controlled...
Mimicking portfolios of economic (non-traded) factors are commonly constructed by projecting the fac...
The common approach for constructing factor mimicking portfolios is to go long in assets with high l...
Controlled variable selection is an important analytical step in various scientific fields, such as ...
Testing, in the financial markets, the hypothesis of a k latent factor structure by the methods of e...
Hedge funds have traditionally served wealthy individuals and institutional investors with the promi...
Abstract Hedge funds have traditionally served wealthy individuals and institutional investors with ...
We discuss the theoretical machinery involved in predicting financial market movements using an arti...
Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional market...
Abstract This paper proposes an original behavioural finance representative agent model, to explain ...
Prediction markets are considered as a promising new forecasting method that has proven high predict...
We consider the variable selection problem, which seeks to identify important variables influencin...
This paper proposes two consistent model selection procedures for factor-augmented regressions in fi...
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