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An enhanced factor model for portfolio selection in high dimensions Journal article
Shi, Fangquan, Shu, Lianjie, Gu, Xinhua. An enhanced factor model for portfolio selection in high dimensions[J]. Journal of Financial Ecnometrics, 2024, 22(1), 94-118.
Authors:  Shi, Fangquan;  Shu, Lianjie;  Gu, Xinhua
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:1.8/4.0 | Submit date：2022/08/31
Asset Allocation  Mixed Factors  Diagonally-dominant Covariances  
High-dimensional sparse index tracking based on a multi-step convex optimization approach Journal article
Shi Fangquan, Shu Lianjie, Luo Yiling, Huo Xiaoming. High-dimensional sparse index tracking based on a multi-step convex optimization approach[J]. Quantitative Finance, 2023, 23(9), 1361-1372.
Authors:  Shi Fangquan;  Shu Lianjie;  Luo Yiling;  Huo Xiaoming
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:1.5/2.2 | Submit date：2023/08/15
Finance  Index Tracking  Sparsity  Cardinality  Lasso  
Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues Journal article
Shi, Fangquan, Shu, Lianjie, Yang, Aijun, He, Fangyi. Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues[J]. Journal of Financial and Quantitative Analysis, 2020, 55(8), 2700-2731.
Authors:  Shi, Fangquan;  Shu, Lianjie;  Yang, Aijun;  He, Fangyi
Favorite | TC[WOS]:6 TC[Scopus]:7  IF:3.7/4.7 | Submit date：2021/12/07
High-dimensional index tracking based on the adaptive elastic net Journal article
Shu, Lianjie, Shi, Fangquan, Tian, Guoliang. High-dimensional index tracking based on the adaptive elastic net[J]. Quantitative Finance, 2020, 20(9), 1513-1530.
Authors:  Shu, Lianjie;  Shi, Fangquan;  Tian, Guoliang
Favorite | TC[WOS]:13 TC[Scopus]:18  IF:1.5/2.2 | Submit date：2021/12/06
Cardinality  Index Tracking  Lasso  Sparsity  
Portfolio Optimization and Index Tracking Using Regularization Techniques Thesis
Shi Fangquan. Portfolio Optimization and Index Tracking Using Regularization Techniques[D]. 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
Fangquan Shi, Lianjie Shu, Aijun Yang, Fangyi He. Improving Minimum Variance Portfolios by Alleviating Over-Dispersion of Eigenvalues[J]. Journal of Financial and Quantitative Analysis, 2019, 55(8), 2700-2731.
Authors:  Fangquan Shi;  Lianjie Shu;  Aijun Yang;  Fangyi He
Favorite | TC[WOS]:6 TC[Scopus]:7  IF:3.7/4.7 | Submit date：2019/12/10