2 papers
stat.ME2026
Proximal Empirical Bayes for Sparse Regression with Posterior Decision Support
Dimitrios Roxanas
Sparse regression requires both estimation and a decision about which effects to retain. Bayesian shrinkage supplies uncertainty for that decision, but richer prior hierarchies can…
q-fin.CP2025
Low-Turnover Rebalancing for Sparse Index Tracking
Dimitrios Roxanas
Sparse index tracking is often evaluated through rolling reconstruction: a sparse portfolio is fitted on an in-sample window, held over the next period, and rebuilt when the window…