It is common in the financial mathematics literature to start by fixing a probability space $(\Omega,\mathcal F,\mathbb P)$, on which the underlying price process is defined. We depart from this route in that we do not fix the prior $\mathbb P$. Under very general assumptions, we recover the...

We propose a new method, VASA, based on variable subsample aggregation of model predictions for equity returns using a large-dimensional set of factors. To demonstrate the effectiveness, robustness, and dimension reduction power of VASA, we perform a comparative analysis between state-of-the-art...