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Small sample tests of portfolio efficiency

Zhou, Guofu - In: Journal of financial economics 30 (1991) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10001121692

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 sample global minimum variance portfolio with a sample...

Persistent link: https://www.econbiz.de/10011547611

A trend factor : Any economic gains from using information over investment horizons?

Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375

Persistent link: https://www.econbiz.de/10011590910

Modeling non-normality using multivariate t : implications for asset pricing

Kan, Raymond; Zhou, Guofu - In: China finance review international 7 (2017) 1, pp. 2-32

Persistent link: https://www.econbiz.de/10011797735

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

Data-generating process uncertainty : what difference does it make in portfolio decisions?

Tu, Jun; Zhou, Guofu - In: Journal of financial economics 72 (2004) 2, pp. 385-421

Persistent link: https://www.econbiz.de/10002033621

Tests of mean-variance spanning

Kan, Raymond (contributor); Zhou, Guofu (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001681234

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

On the fundamental law of active portfolio management : what happens if our estimates are wrong?

Zhou, Guofu - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 26-33

Persistent link: https://www.econbiz.de/10003769532

What will the likely range of my wealth be?

Kan, Raymond; Zhou, Guofu - In: Financial analysts' journal : FAJ 65 (2009) 4, pp. 68-77

Persistent link: https://www.econbiz.de/10003867783