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cs.LG2024
Initialization Matters: On the Benign Overfitting of Two-Layer ReLU CNN with Fully Trainable Layers
Shuning Shang, Xuran Meng, Yuan Cao +1
Benign overfitting refers to how over-parameterized neural networks can fit training data perfectly and generalize well to unseen data. While this has been widely investigated theo…
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…