Solving the High-dimensional Markowitz Optimization Problem: When Sparse Regression Meets Random Matrix Theory

Assistant Professor at Wang Yanan Institute for Studies in Economics (WISE) and Department of Finance, School of Economics, Xiamen University

Prof. Mengmeng Ao's personal website: 

www.wise.xmu.edu.cn/people/faculty/08638092_bbe9_41c1_8db5_8ba6d5e43f87.html