百晓学者学者目录

时芳泉

硕士生导师、讲师，南京审计大学

精选作品

期刊论文

2025

A robust latent factor model for high-dimensional portfolio selection

Fangquan Shi, Lianjie Shu, Xinhua Gu

Journal Of Empirical Finance，Vol. 83

DOI

2025

Improving minimum-variance portfolio through shrinkage of large covariance matrices

Fangquan Shi, Lianjie Shu, Fangyi He, Wenpo Huang

Economic Modelling，Vol. 144

DOI

2024

An Enhanced Factor Model for Portfolio Selection in High Dimensions*

Fangquan Shi, Lianjie Shu, Xinhua Gu

Journal Of Financial Econometrics，Vol. 220, No. 10

DOI

2023

High-dimensional sparse index tracking based on a multi-step convex optimization approach

Fangquan Shi, Lianjie Shu, Yiling Luo, Xiaoming Huo

Quantitative Finance，Vol. 230, No. 9

DOI

2023

Cognitive biases, downside risk shocks, and stock expected returns

Si Li, Fangyi He, Fangquan Shi

North American Journal Of Economics And Finance，Vol. 68

DOI

2020

Improving Minimum-Variance Portfolios by Alleviating Overdispersion of Eigenvalues

Fangquan Shi, Lianjie Shu, Aijun Yang, Fangyi He

Journal Of Financial And Quantitative Analysis，Vol. 550, No. 8

DOI

2020

High-dimensional index tracking based on the adaptive elastic net

Lianjie Shu, Fangquan Shi, Guoliang Tian

Quantitative Finance，Vol. 200, No. 9

DOI

研究方向

资产组合优化机器学习

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