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of the estimated expected portfolio returns. -- Estimation risk ; linear regression theory ; Markowitz portfolio …
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the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics …
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We propose two semiparametric versions of the debiased Lasso procedure for the model $Y_{i}=X_{i}\beta_{0} g_{0}(Z_{i}) \varepsilon_{i}$, where the parameter vector of interest $\beta_{0}$ is high dimensional but sparse (exactly or approximately) and $g_{0}$ is an unknown nuisance function. Both...
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