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Optimal portfolio selection with and without risk-free asset
Kan, Raymond; Wang, Xiaolu; Zhou, Guofu - 2016 - Current version: March, 2016
Persistent link: https://www.econbiz.de/10011442786
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The exact distribution of the Hansen-Jagannathan bound
Kan, Raymond; Robotti, Cesare - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 1915-1943
Persistent link: https://www.econbiz.de/10011518611
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Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond; Wang, Xiaolu; Zhuo, Guofu - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2047-2068
Persistent link: https://www.econbiz.de/10013262911
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Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of financial economics 132 (2019) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012136929
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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718
Persistent link: https://www.econbiz.de/10012040404
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
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Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
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Comment on: pseudo-true SDFs in conditional asset pricing models
Kan, Raymond; Robotti, Cesare - In: Journal of financial econometrics 18 (2020) 4, pp. 729-735
Persistent link: https://www.econbiz.de/10012405518
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Rejoinder on: pseudo-true SDFs in conditional asset pricing models
Antoine, Bertille; Proulx, Kevin; Renault, Eric - In: Journal of financial econometrics 18 (2020) 4, pp. 776-790
Persistent link: https://www.econbiz.de/10012405523