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stat.ME2026
Adaptive Multi-task Learning for Multi-sector Portfolio Optimization
Qingliang Fan, Ruike Wu, Yanrong Yang
Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large nu…
stat.ME2024
Uncertainty Learning for High-dimensional Mean-variance Portfolio
Ruike Wu, Yanrong Yang, Han Lin Shang +1
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributio…