This paper attempts to investigate if adopting accurate forecasts from Neural Network (NN) models can lead to statistical and economically significant benefits in portfolio management decisions. In order to achieve that, three NNs, namely the Multi-Layer Perceptron (MLP), Recurrent Neural...

We introduce a novel multiple hypothesis testing framework for selecting outperforming mutual funds with control of luck, the functional False Discovery Rate “plus”. We show that our method, which incorporates informative covariates to estimate the false discovery rate, gains considerable...