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Mengmeng Ao

S&P Global

SCHOLARLY PAPERS

6

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1,337

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Scholarly Papers (6)

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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 326 (239,208)

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

2.

Data Arbitrage with Proprietary Dividend Forecasts - Historically Precise Updates Led to U.S. Outperformance

S&P Global Market Intelligence Quantamental Report, April 2024
Number of pages: 19 Posted: 30 May 2024
Frank Zhao and Mengmeng Ao
S&P Global and S&P Global
Downloads 303 (253,118)

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3.

Familiar Signal, New Context: The Evolution of Earnings Call Sentiment Analysis from Lexicons to LLMs

S&P Global Market Intelligence Quantamental Report 
Number of pages: 20 Posted: 17 Sep 2025
Mengmeng Ao and Frank Zhao
S&P Global and S&P Global
Downloads 241 (331,797)

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4.

Tariff Tools in Action: Tracking Impact with Data

S&P Global Market Intelligence Quantamental Report No. April 2025
Number of pages: 11 Posted: 24 Apr 2025
Mengmeng Ao, Drew Bowers, Henry Chiang, Ilja Hauerhof, Liam Hynes, Samrudhi Kaulapure, James Olejniczak, Daniel Sandberg, Amritpal Sidhu and Frank Zhao
S&P Global, S&P Global, S&P Global, S&P Global, S&P Global, S&P Global, S&P Global, S&P Global, S&P Global and S&P Global
Downloads 171 (440,151)

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5.

Banking on Industry Data: Navigating the Ebbs and Flows of the Banking Sector

S&P Global Market Intelligence Quantamental Report No. January 2025
Number of pages: 30 Posted: 18 Jan 2025
Frank Zhao and Mengmeng Ao
S&P Global and S&P Global
Downloads 157 (482,968)

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6.

Goldilocks and the Three Market Trends Shaping Q3 2024: Earnings, AI Adoption, Price Stability Take Center Stage

S&P Global Market Intelligence Quantamental Report, October 2024
Number of pages: 18 Posted: 25 Oct 2024
Frank Zhao and Mengmeng Ao
S&P Global and S&P Global
Downloads 139 (537,489)

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