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An enhanced factor model for portfolio selection in high dimensions Journal article
Journal of Financial Ecnometrics, 2022
Authors:  Shi, Fangquan;  Shu, Lianjie;  Gu, Xinhua
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date：2022/08/31
Asset Allocation  Mixed Factors  Diagonally-dominant Covariances  
Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues Journal article
Journal of Financial and Quantitative Analysis, 2020,Volume: 55,Issue: 8,Page: 2700-2731
Authors:  Shi, Fangquan;  Shu, Lianjie;  Yang, Aijun;  He, Fangyi
Favorite |  | TC[WOS]:4 TC[Scopus]:4 | Submit date：2021/12/07
High-dimensional index tracking based on the adaptive elastic net Journal article
Quantitative Finance, 2020,Volume: 20,Issue: 9,Page: 1513-1530
Authors:  Shu, Lianjie;  Shi, Fangquan;  Tian, Guoliang
Favorite |  | TC[WOS]:3 TC[Scopus]:3 | Submit date：2021/12/06
Cardinality  Index Tracking  Lasso  Sparsity  
Portfolio Optimization and Index Tracking Using Regularization Techniques Thesis
Macau: University of Macau, 2019
Authors:  Shi Fangquan
Favorite |  | Submit date：2022/08/20
Improving Minimum Variance Portfolios by Alleviating Over-Dispersion of Eigenvalues Journal article
Journal of Financial and Quantitative Analysis, 2019,Page: 1-62
Authors:  Fangquan Shi;  Lianjie Shu;  Aijun Yang;  Fangyi He
Favorite |  | TC[WOS]:0 TC[Scopus]:4 | Submit date：2019/12/10