Zhao Zhao

Huazhong University of Science and Technology - Department of Economics

Wuhan, Hubei 430074

China

SCHOLARLY PAPERS

4

DOWNLOADS

841

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies

University of Zurich, Department of Economics, Working Paper No. 238, Revised version
Number of pages: 52 Posted: 08 Dec 2016 Last Revised: 27 May 2018
Olivier Ledoit, Michael Wolf and Zhao Zhao
University of Zurich - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology - Department of Economics
Downloads 595 (57,525)
Citation 4

Abstract:

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Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

2.

Risk Reduction and Efficiency Increase in Large Portfolios: Leverage and Shrinkage

University of Zurich, Department of Economics, Working Paper No. 328, Revised version
Number of pages: 34 Posted: 18 Jul 2019 Last Revised: 25 Jan 2020
Zhao Zhao, Olivier Ledoit and Hui Jiang
Huazhong University of Science and Technology - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology (Formerly Tongi Medical University)
Downloads 103 (323,137)
Citation 2

Abstract:

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DCC, nonlinear shrinkage, leverage constraints, large portfolios, risk reduction, Markowitz mean-variance efficiency, multivariate GARCH

3.

A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited

Number of pages: 47 Posted: 15 Apr 2020 Last Revised: 12 Jul 2021
Gianluca De Nard and Zhao Zhao
University of Zurich - Department of Banking and Finance and Huazhong University of Science and Technology - Department of Economics
Downloads 83 (370,144)

Abstract:

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Anomalies, cross-section of returns, efficient sorting, large dimensions, Markowitz portfolio selection, nonlinear shrinkage

Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices

Number of pages: 59 Posted: 30 Jul 2021
Gianluca De Nard and Zhao Zhao
University of Zurich - Department of Banking and Finance and Huazhong University of Science and Technology - Department of Economics
Downloads 50 (487,836)

Abstract:

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Double-shrinkage, Factor models, Markowitz portfolio selection, Multivariate GARCH, Nonlinear shrinkage, Regularization.

Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices

Number of pages: 30 Posted: 31 Aug 2021
Gianluca De Nard and Zhao Zhao
University of Zurich - Department of Banking and Finance and Huazhong University of Science and Technology - Department of Economics
Downloads 10 (745,874)

Abstract:

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Double-shrinkage, Factor models, Markowitz portfolio selection, Multivariate GARCH, Nonlinear shrinkage, Regularization