3 papers
q-fin.PM2026
A Three--Dimensional Efficient Surface for Portfolio Optimization
Yimeng Qiu
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk a…
q-fin.PM2025
Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures
Yimeng Qiu
We introduce Entropy-Guided Multiplicative Updates (EGMU), a convex optimization framework for constructing multi-factor target-exposure portfolios by minimizing Kullback-Leibler d…
cs.LG2025
A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers
Yimeng Qiu, Feihuang Fang
We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statist…