3 papers
stat.AP2022★ 15 cited
High Dimensional Portfolio Selection with Cardinality Constraints
Jin-Hong Du, Yifeng Guo, Xueqin Wang
The expanding number of assets offers more opportunities for investors but poses new challenges for modern portfolio management (PM). As a central plank of PM, portfolio selection…
math.NA2018
Fiber product homotopy method for multiparameter eigenvalue problems
Jose Israel Rodriguez, Jin-Hong Du, Yiling You +1
We develop a new homotopy method for solving multiparameter eigenvalue problems (MEPs) called the fiber product homotopy method. For a -parameter eigenvalue problem with matrice…
q-fin.PM2018
A Machine Learning Framework for Stock Selection
XingYu Fu, JinHong Du, YiFeng Guo +3
This paper demonstrates how to apply machine learning algorithms to distinguish good stocks from the bad stocks. To this end, we construct 244 technical and fundamental features to…