41 citations · 49 across the 7 of their papers we have counts for
7 papers
Single-Asset Adaptive Leveraged Volatility Control
Nikhil Devanathan, Dylan Rueter, Stephen Boyd +6
This paper introduces a methodology for constructing a market index composed of a liquid risky asset and a liquid risk-free asset that achieves a fixed target volatility. Existing…
Adaptive Strategies for Pension Fund Management
Raphael Chinchilla, Thomas D. Rueter, Timothy R. McDade +4
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definitio…
Mosaic inference on panel data
Asher Spector, Rina Foygel Barber, Emmanuel Candès
Analysis of panel data via linear regression is widespread across disciplines. To perform statistical inference, such analyses typically assume that clusters of observations are jo…
The mosaic permutation test: an exact and nonparametric goodness-of-fit test for factor models
Asher Spector, Rina Foygel Barber, Trevor Hastie +2
Financial firms often rely on fundamental factor models to explain correlations among asset returns and manage risk. Yet after major events, e.g., COVID-19, analysts may reassess w…
Controlled Variable Selection from Summary Statistics Only? A Solution via GhostKnockoffs and Penalized Regression
Zhaomeng Chen, Zihuai He, Benjamin B. Chu +4
Identifying which variables do influence a response while controlling false positives pervades statistics and data science. In this paper, we consider a scenario in which we only h…
Second-order group knockoffs with applications to GWAS
Benjamin B Chu, Jiaqi Gu, Zhaomeng Chen +4
Conditional testing via the knockoff framework allows one to identify -- among large number of possible explanatory variables -- those that carry unique information about an outcom…
Panning for Gold: Model-X Knockoffs for High-dimensional Controlled Variable Selection
Emmanuel Candes, Yingying Fan, Lucas Janson +1
Many contemporary large-scale applications involve building interpretable models linking a large set of potential covariates to a response in a nonlinear fashion, such as when the…