High-dimensional molecular measurements, e.g. gene expression data, can be linked to clinical time-to-event endpoints by Cox regression models and regularized estimation approaches, such as componentwise boosting, and can incorporate a large number of covariates as well as provide variable selection. If there is heterogeneity due to known patient subgroups, a stratified Cox model allows for separate baseline hazards in each subgroup. Variable selection will still depend on the relative stratum sizes in the data, which might be a convenience sample and not representative for future applications. Such effects need to be systematically investigated and could even help to more reliably identify components of risk prediction signatures.