Bao Huy Doan

University of New South Wales

Research student

Sydney, NSW 2052

Australia

  • University of New South Wales

SCHOLARLY PAPERS

5

DOWNLOADS

533

TOTAL CITATIONS

2

Scholarly Papers (5)

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1.

Beta Measurement and Forecasting with High Frequency Returns

Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 11 Apr 2021
Bao Huy Doan, John B. Lee, Qianqiu Liu and Jonathan J. Reeves
University of New South Wales, University of Auckland Business School, University of Hawaii at Manoa - Shidler College of Business and UNSW Business School, University of New South Wales
Downloads 289 (210,077)
Citation 1

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CAPM, realized betas, systematic risk

2.

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

Number of pages: 38 Posted: 27 Jan 2021
Bao Huy Doan, Jonathan J. Reeves and Michael Sherris
University of New South Wales, UNSW Business School, University of New South Wales and UNSW Business School
Downloads 140 (408,646)

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COVID-19 pandemic, Equity investment, Portfolio management, Target-date funds, Volatility management

3.

A Portfolio-Based Measure of Economic Uncertainty

Number of pages: 54 Posted: 10 Jan 2019
Bao Huy Doan, F. Douglas Foster and Li Yang
University of New South Wales, The University of Sydney - Discipline of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 104 (511,658)
Citation 1

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Economic Uncertainty, Broad Market Portfolio, Correlation Between Individual Markets, Market Specific and Economy-wide Shocks

4.

Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms

Posted: 14 Jan 2021
Bao Huy Doan, Dulani Jayasuriya, John B. Lee and Jonathan J. Reeves
University of New South Wales, University of Auckland Business School, University of Auckland Business School and UNSW Business School, University of New South Wales

Abstract:

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CAPM, Systematic Risk

5.

Targeting Market Neutrality and Volatility

30th Australasian Finance and Banking Conference 2017
Posted: 18 Aug 2017 Last Revised: 04 May 2018
Bao Huy Doan and Jonathan J. Reeves
University of New South Wales and UNSW Business School, University of New South Wales

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beta forecasting, short-horizon forecasting, volatility forecasting, volatility timing, zero-beta portfolios