2 papers
stat.ME2025
Panel Coupled Matrix-Tensor Clustering Model with Applications to Asset Pricing
Liyuan Cui, Guanhao Feng, Yuefeng Han +1
We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Exi…
cs.LG2025
Growing the Efficient Frontier on Panel Trees
Lin William Cong, Guanhao Feng, Jingyu He +1
We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance a…