Professor of International Finance

Professor of International FinanceProfessor of International Finance

Code library

Penalized Sharpe Ratio estimates

Implements the estimators described in: Landis C, and S. Skouras, 2021, The Penalized Sharpe Ratio, working paper.

Matlab code (forthcoming)

Datastream data processing

Implements the data cleaning guidelines described in: Landis C, and S. Skouras, 2019, Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream, working paper.

Data Cleaning

Matlab code

Max Score computation via Mixed Integer Programming

In Florios K. and S. Skouras, 2008, Exact computation of max weighted score estimation, Journal of Econometrics, 146, 1, 86-91 we introduced MIP modeling as a method to compute otherwise intractable estimators, applying this approach specifically to max score. Here we provide code that implements this approach.

GAMS implementation

R implementation

Python implementation

Matlab implementation

Fortran implementation

Windows 32 executable

CLAD computation via Mixed Integer Programming

Implements the Mixed Integer Programming model for CLAD described in: Bilias Y, Florios K. and S. Skouras, 2019, Exact computation of Censored Least Absolute Deviations estimator, Journal of Econometrics, 212, 2, 584-606.

Fortran implementation

GAMS implementation

Matlab implementation

R implementation

Python implementation

Windows 32 executable

Ubuntu

This website uses cookies.

We use cookies to analyze website traffic and optimize your website experience. By accepting our use of cookies, your data will be aggregated with all other user data.