We provide a new theory for nodewise regression when the residuals from a tted factor model areused. We apply our results to the analysis of the consistency of Sharpe Ratio estimators when there are many assets in a portfolio. We allow for an increasing number of assets as well as time...

We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...

We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...

In this note, I will look at history of Lasso estimation, which is the benchmark high dimensional estimation technique. I want to also give a perspective where Lasso may be evolving.

The US government debt is now in uncharted waters. From the founding of the nation until 1968, government debt moved up and down without a trend, but over the past 50 years, debt relative to the size of the economy has increased continuously. The United States does not appear to have a coherent...

This paper analyzes how the interaction of public and private debt influences economic growth. Both debt variables are treated as endogenous and subject to regime switch, with the interaction term being the threshold variable. We test whether this interaction variable causes a nonlinear...