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Great efforts are being made to develop advanced polygenic risk scores (PRS) to improve the prediction of complex traits and diseases. However, most existing PRS are primarily trained on European ancestry populations, limiting their transferability to non-European populations. In this article, we propose a novel method for generating multi-ancestry Polygenic Risk scOres based on enSemble of PEnalized Regression models (PROSPER). PROSPER integrates genome-wide association studies (GWAS) summary statistics from diverse populations to develop ancestry-specific PRS with improved predictive power for minority populations. The method uses a combination of (lasso) and (ridge) penalty functions, a parsimonious specification of the penalty parameters across populations, and an ensemble step to combine PRS generated across different penalty parameters. We evaluate the performance of …