Working Papers
- Some Hypotheses about ARORA, the Financial Turing Test
- Cramer vs. Pseudo-Cramer
- Dart to the Heart
- Random Portfolios for Evaluating Trading Strategies
- Multivariate GARCH with Only Univariate Estimation
- Performance Measurement via Random Portfolios
- Permuting Super Bowl Theory
- Sharper Fund Management
- The Technical Analysis Challenge
- Portfolio Sharpening
- Does My Beta Look Big in This?
- On Using Statistical Factor Models in Optimizing Long-Only Portfolios
- The Quality of Value at Risk via Univariate GARCH
- Robustness of the Ljung-Box Test and its Rank Equivalent
