This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. DeVroye's approach to sampling the interior of a...

We review some basic ideas of the robust statistics literature and define tools that allows us to construct robust statistical procedures. We show how these ideas, originally developed for fixed dimensional settings, can also be applied to high-dimensional problems where the number of unknown...