JASA Jul 24, 2025

Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization

Authors
Xuran Meng Yuan Cao Weichen Wang
Research Topics
Computational Statistics
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Paper Information
  • Journal:
    Journal of the American Statistical Association
  • DOI:
    10.1080/01621459.2025.2535757
  • Published:
    July 24, 2025
  • Added to Tracker:
    Jul 30, 2025
Author Details
Xuran Meng
Author
Yuan Cao
Author
Weichen Wang
Author
Research Topics & Keywords
Computational Statistics
Research Area
Citation Information
APA Format
Xuran Meng , Yuan Cao & Weichen Wang (2025) . Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization. Journal of the American Statistical Association , 10.1080/01621459.2025.2535757.
BibTeX Format
@article{paper208,
  title = { Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization },
  author = { Xuran Meng and Yuan Cao and Weichen Wang },
  journal = { Journal of the American Statistical Association },
  year = { 2025 },
  doi = { 10.1080/01621459.2025.2535757 },
  url = { https://www.tandfonline.com/doi/full/10.1080/01621459.2025.2535757 }
}
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