Yan Wang

The University of Hong Kong

Pokfulam Road

Hong Kong, Pokfulam HK

China

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Scholarly Papers (1)

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Out-of-sample Performance-based Estimation of Expected Returns for Portfolio Selection

Number of pages: 50 Posted: 26 Aug 2022
Peng-Chu Chen and Yan Wang
The University of Hong Kong and The University of Hong Kong
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Abstract:

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portfolio selection, expected return estimation, estimation error, Bayes, Gibbs sampler, data augmentation, synthetic data