449 citations · 996 across the 58 of their papers we have counts for
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stat.AP2011
Cluster-Based Regularized Sliced Inverse Regression for Forecasting Macroeconomic Variables
Yue Yu, Zhihong Chen, Jie Yang
This article concerns the dimension reduction in regression for large data set. We introduce a new method based on the sliced inverse regression approach, called cluster-based regu…
q-fin.PM2011★ 1 cited
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Tim Leung, Qingshuo Song, Jie Yang
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete…