Jingjin Zhang

Princeton University - Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

1.

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Number of pages: 41 Posted: 14 Mar 2009 Last Revised: 22 Mar 2009
Jianqing Fan, Jingjin Zhang and Ke Yu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and Princeton University - Bendheim Center for Finance
Downloads 1,327 (13,763)

Abstract:

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Short-sale constraint, mean-variance efficiency, portfolio selection, risk assessment, risk optimization, portfolio improvement