2 papers
q-fin.PM2025
Portfolio Analysis in High Dimensions with TE and Weight Constraints
Mehmet Caner, Qingliang Fan
This paper explores the statistical properties of forming constrained optimal portfolios within a high-dimensional set of assets. We examine portfolios with tracking error constrai…
stat.ME2025
Cost-aware Portfolios in a Large Universe of Assets
Qingliang Fan, Marcelo C. Medeiros, Hanming Yang +1
This paper considers the finite horizon portfolio rebalancing problem in terms of mean-variance optimization, where decisions are made based on current information on asset returns…