Featured Presentations
2008
Mark Bauer
Renate Scheidler
Victor Moll
Tamas Erdelyi
Sinai Robbins
Kevin Hare
Dr. Jianqing Fan
Institute of Mathematical Statistics
Abstract
High dimensionality comparable to the sample size is a common feature in portfolio allocation, risk management, genetic network and climatology. In this talk, we first use a multi-factor model to reduce...