2 papers
q-fin.PM2026
Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
Ya-Juan Wang, Yi-Shuai Niu, Artan Sheshmani +1
Unrestricted mean-variance-skewness-kurtosis portfolio optimization can capture asymmetry and tail risk, but sample-moment formulations become computationally impractical when the…
math.OC2026
Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient
Yi-Shuai Niu, Yajuan Wang
We develop a sketch-based factor reduction and a Nesterov-accelerated projected gradient algorithm (NPGA) with GPU acceleration, yielding a doubly accelerated solver for large-scal…