13 citations · 23 across the 13 of their papers we have counts for
13 papers
Post Selection Estimation of Sharpe Ratios
Steven E. Pav
We consider the problem of estimating the true Sharpe ratio of an asset selected for having the highest observed in-sample Sharpe ratio among many assets. We discuss estimators bas…
The Sherman-Morrison-Markowitz Portfolio
Steven E. Pav
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Mo…
Inferring Piece Value in Chess and Chess Variants
Steven E. Pav
We use logistic regression to estimate the value of the pieces in standard chess and several chess variants, namely Chess 960, Atomic chess, Antichess, and Horde chess. We perform…
An Iterative Algorithm for Regularized Non-negative Matrix Factorizations
Steven E. Pav
We generalize the non-negative matrix factorization algorithm of Lee and Seung to accept a weighted norm, and to support ridge and Lasso regularization. We recast the Lee and Seung…
Inference on Achieved Signal Noise Ratio
Steven E. Pav
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a stat…
A post hoc test on the Sharpe ratio
Steven E. Pav
We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all popul…
Conditional inference on the asset with maximum Sharpe ratio
Steven E. Pav
We apply the procedure of Lee et al. to the problem of performing inference on the signal-noise ratio of the asset which displays maximum sample Sharpe ratio over a set of possibly…
Safety Third: Roy's Criterion and Higher Order Moments
Steven E. Pav
Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objectiv…
Inference on the Sharpe ratio via the upsilon distribution
Steven E. Pav
The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distr…
Moments of the log non-central chi-square distribution
Steven E. Pav
The cumulants and moments of the log of the non-central chi-square distribution are derived. For example, the expected log of a chi-square random variable with v degrees of freedom…
Bounds on Portfolio Quality
Steven E. Pav
The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noi…
Asymptotic distribution of the Markowitz portfolio
Steven E. Pav
The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns.…
SRCEK: A Continuous Embedding of the Channel Selection Problem for weighted PLS Modeling
Steven E. Pav
SRCEK, is a technique for selecting useful channels for affine modeling of a response by PLS. The technique embeds the discrete channel selection problem into the continuous space…