180 citations · 623 across the 15 of their papers we have counts for
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econ.EM2022
Robustifying Markowitz
Wolfgang Karl Härdle, Yegor Klochkov, Alla Petukhina +1
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation erro…
econ.EM2018★ 3 cited
LASSO-Driven Inference in Time and Space
Victor Chernozhukov, Wolfgang K. Härdle, Chen Huang +1
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes…