5 citations · 12 across the 4 of their papers we have counts for
Showing 2020 · econ.EMShow all
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econ.EM2020
L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
Zhentao Shi, Liangjun Su, Tian Xie
This paper tackles forecast combination with many forecasts or minimum variance portfolio selection with many assets. A novel convex problem called L2-relaxation is proposed. In co…
econ.EM2020
Detecting Latent Communities in Network Formation Models
Shujie Ma, Liangjun Su, Yichong Zhang
This paper proposes a logistic undirected network formation model which allows for assortative matching on observed individual characteristics and the presence of edge-wise fixed e…