The distribution of equity returns exhibits skewness and kurtosis. These two stylized facts are embedded in the multivariate volatility distribution of equity returns and are important in measuring the risk of an equity portfolio. In order to capture these attributes while estimating the...

Large and thus statistically powerful A/B tests are increasingly popular in business and policy to evaluate potential innovations. We study how to optimally use scarce experimental resources to screen innovations. To do so, we propose a new framework for optimal experimentation that we call the...