Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains ...

It is shown that there is a substantial positive sampling correlation between the regression of offspring on mid-parent and the covariance of full sibs estimated from the same data, and that in a ...

Automated or data-driven bandwidth selection methods tend to break down in the presence of correlated errors. While this problem has previously been studied in the fixed design setting for kernel ...