Bao Huy Doan

University of New South Wales

Research student

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

340

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Beta Measurement and Forecasting with High Frequency Returns

Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 11 Apr 2021
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 167 (250,789)

Abstract:

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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
University of New South Wales, UNSW Business School, University of New South Wales and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 107 (351,753)

Abstract:

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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 66 (467,849)
Citation 1

Abstract:

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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
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

Abstract:

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