Selection bias under multiple testing is a serious problem. From a practitioner's perspective, failure to disclose the impact of multiple tests of a proposed investment strategy to clients and senior management can lead to the adoption of a false discovery. Clients will lose money, senior...

Traditionally, the development of investment strategies has required domain-specific knowledge as well as access to restricted datasets. This has meant that investment opportunities are not researched by the majority of data scientists, because they lack either or both of these requirements. In...

Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....

"An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the...