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Beyond Black-Litterman : letting the data speak
Zhou, Guofu - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 36-45
Persistent link: https://www.econbiz.de/10003909565
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Financial economics
Fabozzi, Frank J.; Neave, Edwin H.; Zhou, Guofu - 2012
Financial Economics has quickly established itself as a strong and growing market. Introduction to Financial Economics by Frank Fabozzi, Edwin Neave, and Gaofu Zhou presents an introduction to basic financial ideas through a strong grounding in microeconomic theory. This calculus based text...
Persistent link: https://www.econbiz.de/10009412743
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Testing multi-beta asset pricing models
Velu, Raja P.; Zhou, Guofu - In: Journal of empirical finance 6 (1999) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10001426357
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Unspanned Risk and Risk-Return Tradeoff
Zhang, Huacheng; Zhou, Guofu - 2023
We show that the conditional risk estimation in the ICAPM model (Merton, 1973) should contain the unspanned uncertainty … significant risk-return tradeoff in both aggregated market and stock cross-section, in both short and long run, and both in and …-investment portfolio buying stocks in the top unspanned risk decile and selling stocks in the bottom decile can generate a Fama …
Persistent link: https://www.econbiz.de/10014257627
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Investor attention and stock returns
Chen, Jian; Tang, Guohao; Yao, Jiaquan; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 2, pp. 455-484
Persistent link: https://www.econbiz.de/10012805803
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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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On the value of portfolio optimization in the presence of estimation risk : the case with and without risk-free asset
Kan, Raymond; Wang, Xiaolu; Zhou, Guofu - 2016 - Current version: August, 2016
For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new … portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the … estimation risk than alternative strategies proposed in the literature. In addition, the newly derived optimal combining strategy …
Persistent link: https://www.econbiz.de/10011547611
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Volatility-managed portfolio : does it really work?
Liu, Fang; Tang, Xiaoxiao; Zhou, Guofu - In: The journal of portfolio management : a publication of … 46 (2019) 1, pp. 38-51
Persistent link: https://www.econbiz.de/10012433114
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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio
Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320
Persistent link: https://www.econbiz.de/10010259395
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Twin Momentum : Fundamental Trends Matter
Huang, Dashan - 2019
Using time-series trends of a set of firms' major fundamentals, we find that there is a fundamentalmomentum in the stock market. Buying stocks in the top quintile of fundamental trends and selling stocks in the bottom quintile earns a monthly average return of 0.88%, whose magnitude is...
Persistent link: https://www.econbiz.de/10012902475