High-Dimensional Mean-Variance Spanning Tests

By David Ardia, Sébastien Laurent, Rosnel Sessinou

Published 2024-03-25

Everscope rating

1785.9

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Batch-mean Cauchy combination spanning (BCS) test. Problem types: Hypothesis Testing, Portfolio Optimization.

arXiv:2403.17127 · Paper rankings

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