Currently, the repository is empty as the paper is "under review." We will release the code once the reviewing process is finalized.

This README file provides information about the data and the computer code used to generate the results presented in Ardia and Sessinou (2024), Robust Inference in Large Panels and Markovitz Portfolios

By using the code, you agree to the following rules:

• You must cite the paper in working papers and published papers that use the code.
• You must place the DOI of this data/code repository in a footnote to help others find it.
• You assume all risk for the use of the code.

All datasets are proprietary. We do not have the rights to share any of the data. We provide pseudo data to illustrate the code usage.

The computer code is written in R and allows for replicating all tables and figures presented in the paper.

Ardia D., Sessinou, R. 2024. Robust Inference in Large Panels and Markowitz Portfolios. Working paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5033399