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