Yan Liu
Yan Liu is a finance academic who, with Campbell Harvey, developed the multiple-testing framework for evaluating trading strategies — “Backtesting” (2015) and “Evaluating Trading Strategies” (Journal of Portfolio Management, 2014) — and, with Harvey and Heqing Zhu, the “factor zoo” census “…and the Cross-Section of Expected Returns” (2016). She appears in this vault as a co-author of the canonical data-snooping correction methods, including the Sharpe ratio haircut.
Connections
- And the Cross-Section of Expected Returns — proposes_model, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2249314
- Data-Snooping Bias — relates, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2345489
- Campbell Harvey — relates, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2345489