Inference for the difference in the area under the ROC curve derived from nested binary regression models.
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DOI: 10.1093/biostatistics/kxw045
Abstract: The area under the curve (AUC) statistic is a common measure of model performance in a binary regression model. Nested models are used to ascertain whether the AUC statistic increases when new factors enter the… read more here.
Keywords: inference difference; difference; new factors; area ... See more keywords
Portfolio Selection Using New Factors Based on Firm Characteristics
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DOI: 10.35866/caujed.2018.43.1.004
Abstract: In this paper, we apply a new factor model to portfolio-selection problems and compare its portfolio investment performance with those of other popular portfolio-selection methods. The new factors are formed from a well-characterized subset of… read more here.
Keywords: new factors; portfolio; portfolio selection; based firm ... See more keywords