2 papers
q-fin.PM2026
On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions
Yutao Deng, Jianjun Gao, Weichen Wang
The multiperiod mean-variance (MV) portfolio optimization serves as a vital expansion of Markowitz's static MV portfolio selection framework. Just like its static counterpart, the…
math.ST2025
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…