Danqiao Guo

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 44,158

SSRN RANKINGS

Top 44,158

in Total Papers Downloads

960

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

Number of pages: 56 Posted: 16 Nov 2017 Last Revised: 31 Oct 2018
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 401 (73,817)

Abstract:

Loading...

Portfolio optimization, Estimation error, Approximation error, Spectral cut-off method, Spectral selection method

2.

Age Matters

Number of pages: 44 Posted: 29 May 2019
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 255 (121,745)

Abstract:

Loading...

Bootstrapped portfolio, rebalanced portfolio, age effect, size effect

3.

When Does the 1/N Rule Work?

Number of pages: 27 Posted: 05 Feb 2018 Last Revised: 28 Oct 2019
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 178 (171,562)
Citation 1

Abstract:

Loading...

1/N rule, favorability index, bull and bear markets, regime-switching model

4.

Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models

Number of pages: 32 Posted: 28 Apr 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 126 (228,303)

Abstract:

Loading...

Global Minimum Variance Portfolio, Tail Eigenvalues Amplification, Risk Reduction, High-Dimensionality