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Improving minimum-variance portfolio through shrinkage of large covariance matrices Journal article
Shi, Fangquan, Shu, Lianjie, He, Fangyi, Huang, Wenpo. Improving minimum-variance portfolio through shrinkage of large covariance matrices[J]. Economic Modelling, 2025, 144, 106981.
Authors:  Shi, Fangquan;  Shu, Lianjie;  He, Fangyi;  Huang, Wenpo
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:4.2/4.2 | Submit date：2025/01/22
Portfolio Optimization  Covariance Matrix  Linear Shrinkage  High Dimension  
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]:2 TC[Scopus]:2  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]:7 TC[Scopus]:8  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]:14 TC[Scopus]:20  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]:7 TC[Scopus]:8  IF:3.7/4.7 | Submit date：2019/12/10