2 papers
math.ST2020
Selective Confidence Intervals for Martingale Regression Model
Ka Wai Tsang, Wei Dai
In this paper we consider the problem of constructing confidence intervals for coefficients of martingale regression models (in particular, time series models) after variable selec…
q-fin.PM2020
Mean-Variance Portfolio Management with Functional Optimization
Ka Wai Tsang, Zhaoyi He
This paper introduces a new functional optimization approach to portfolio optimization problems by treating the unknown weight vector as a function of past values instead of treati…