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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…
stat.ME2024
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…