2 papers
q-fin.PM2026
Sustainable Investment: ESG Impacts on Large Portfolio
Ruike Wu, Yonghe Lu, Yanrong Yang
This paper investigates the impact of environmental, social, and governance (ESG) constraint on a regularized mean-variance (MV) portfolio optimization problem in a large-dimension…
q-fin.PM2024
Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy
Yonghe Lu, Yanrong Yang, Terry Zhang
We study the relationship between model complexity and out-of-sample performance in the context of mean-variance portfolio optimization. Representing model complexity by the number…