Ke Yu

Princeton University - Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

2

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Top 22,861

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2,023

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Top 24,022

in Total Papers Citations

11

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Scholarly Papers (2)

1.

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Number of pages: 41 Posted: 14 Mar 2009 Last Revised: 22 Mar 2009
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and Princeton University - Bendheim Center for Finance
Downloads 1,328 (13,774)

Abstract:

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Short-sale constraint, mean-variance efficiency, portfolio selection, risk assessment, risk optimization, portfolio improvement

2.

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Number of pages: 45 Posted: 27 Apr 2010 Last Revised: 08 Feb 2013
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Princeton University - Bendheim Center for Finance
Downloads 695 (35,373)

Abstract:

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