212 citations · 257 across the 9 of their papers we have counts for
Showing math.STShow all
2 papers · 1 filter
math.ST2024
Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization
Xuran Meng, Yuan Cao, Weichen Wang
Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However…
math.ST2018
High-Temperature Structure Detection in Ferromagnets
Yuan Cao, Matey Neykov, Han Liu
This paper studies structure detection problems in high temperature ferromagnetic (positive interaction only) Ising models. The goal is to distinguish whether the underlying graph…