3 papers
math.ST2025
Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization
Xuran Meng, Yuan Cao, Weichen Wang
Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However…
stat.ML2025
Transformer Learns Optimal Variable Selection in Group-Sparse Classification
Chenyang Zhang, Xuran Meng, Yuan Cao
Transformers have demonstrated remarkable success across various applications. However, the success of transformers have not been understood in theory. In this work, we give a case…
cs.LG2024
Initialization Matters: On the Benign Overfitting of Two-Layer ReLU CNN with Fully Trainable Layers
Shuning Shang, Xuran Meng, Yuan Cao +1
Benign overfitting refers to how over-parameterized neural networks can fit training data perfectly and generalize well to unseen data. While this has been widely investigated theo…