4 papers
Sustainable Investment: ESG Impacts on Large Portfolio
Ruike Wu, Yonghe Lu, Yanrong Yang
This paper investigates the impact of environmental, social, and governance (ESG) constraint on a regularized mean-variance (MV) portfolio optimization problem in a large-dimension…
Adaptive Multi-task Learning for Multi-sector Portfolio Optimization
Qingliang Fan, Ruike Wu, Yanrong Yang
Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large nu…
Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets
Qingliang Fan, Ruike Wu, Yanrong Yang
This paper proposes a robust, shocks-adaptive portfolio in a large-dimensional assets universe where the number of assets could be comparable to or even larger than the sample size…
Uncertainty Learning for High-dimensional Mean-variance Portfolio
Ruike Wu, Yanrong Yang, Han Lin Shang +1
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributio…