[1] Portfolio optimization with estimation errors—A robust linear regression approach (With Yilin Du and Wenfeng He), Journal of Empirical Finance, 2025

[2] Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability (With Wenfeng He, Huanjun Zhu and Wei Zhong), Journal of Business & Economic Statistics, 2025

[3] Variable selection in heterogeneous panel data models with cross-sectional dependence (with Bin Peng and Huanjun Zhu), Australian & New zealand Journal of Statistics, 2023

[4] Bayesian nonparametric portfolio selection with rolling maximum drawdown control (with Yachong Wang and Weixuan Zhu), Quantitative Finance, 2023

[5] Mean-variance portfolio selection with estimation risk and transaction costs (with Huanjun Zhu and Chongzhu Chen), Applied Economics, 2023

[6] Precison matrix estimation under data contamination with an application to minimum variance portfolio selection (with Vahe Avagyan) , Communications in statistics - Simulation and Computation, 2022

[7] Portfolio selection with proportional transaction costs and predictability (with Javier Nogales), Journal of Banking & Finance, 2018

[8] Multiperiod portfolio optimization with multiple risky assets and general transaction costs (with Victor DeMiguel and Javier Nogales), Journal of Banking & Finance, 2016