高次元における所与のポートフォリオの効率性の検定
himaginaryの日記,
というNBER論文が上がっている（ungated(SSRN)版）。原題は「A Test of the Efficiency of a Given Portfolio in High Dimensions」で、著者はMikhail Chernov（UCLA）…
Power Enhancement in High‐Dimensional Cross‐Sectional Tests
Overview of attention for article published in Econometrica, January 2015
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