Craftsmanship Alpha: An Application to Style Investing
نویسندگان
چکیده
منابع مشابه
Alpha-investing: A procedure for sequential control of expected false discoveries
Alpha-investing is an adaptive, sequential methodology that encompasses a large family of procedures for testing multiple hypotheses. All control mFDR, which is the ratio of the expected number of false rejections to the expected number of rejections. mFDR is a weaker criterion than FDR, which is the expected value of the ratio. We compensate for this weakness by showing that alpha-investing co...
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