3 papers
q-fin.PM2026
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…
stat.ME2025
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…
q-fin.PM2024
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…