default author photo

Leheng Chen

Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

Clear Water Bay

Kowloon

Hong Kong

  • Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

SCHOLARLY PAPERS

2

DOWNLOADS

555

TOTAL CITATIONS

0

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Robust Large Portfolio Optimization with Heteroscedastic and Heavy-Tailed Returns

HKUST Business School Research Paper No. 2025-236
Number of pages: 42 Posted: 11 Sep 2025 Last Revised: 05 Jul 2026
Mengmeng Ao, Leheng Chen, Yingying Li, Yingying Li and Xinghua Zheng
S&P Global, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 327 (239,208)

Abstract:

Loading...

Heavy-tailedness, Heteroscedasticity, High-dimensionality, robust estimation, Mean-variance efficiency

2.

Efficient Portfolio Estimation in Large Risky Asset Universes

HKUST Business School Research Paper No. 2026-257
Number of pages: 44 Posted: 19 Jan 2026
Leheng Chen, Yingying Li, Yingying Li and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 228 (373,348)

Abstract:

Loading...

Efficient Frontier, Mean-Variance Efficiency, High Dimensions, Linearly Constrained LASSO