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math.ST2024★ 2 cited
Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization
Xuran Meng, Yuan Cao, Weichen Wang
Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However…
math.ST2022★ 3 cited
Multiple Descent in the Multiple Random Feature Model
Xuran Meng, Jianfeng Yao, Yuan Cao
Recent works have demonstrated a double descent phenomenon in over-parameterized learning. Although this phenomenon has been investigated by recent works, it has not been fully und…