The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to low and high volatility portfolios. These two portfolios...

The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta coefficients. The AMF model utilizes a Groupwise...

In this paper, we study the local composite quantile regression estimator for mixed categorical and continuous data. The local composite quantile estimator is an efficient and safe alternative to the local polynomial method and has been well-studied for continuous covariates. Generalization of...

Agricultural food production in China is deeply vulnerable to extreme droughts. Although there are many studies to evaluate this issue from different aspects, comprehensive assessments with full consideration of climate change, crop rotations, irrigation effects, and socioeconomic factors in...

This paper analyzes a special type of technology evolution, referred to in the literature as disruptive technology vs. sustaining technology. In general, ldquo;oldrdquo; products based on sustaining technology are perceived to be superior to the ldquo;newrdquo; ones based on disruptive...

We study a newsvendor game with transshipments, in which n retailers face a stochastic demand for an identical product. Before the demand is realized, each retailer independently orders her initial inventory. After the demand is realized, the retailers select an optimal transshipment pattern and...