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q-fin.PM2024
Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy
Yonghe Lu, Yanrong Yang, Terry Zhang
We study the relationship between model complexity and out-of-sample performance in the context of mean-variance portfolio optimization. Representing model complexity by the number…
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…