Danqiao Guo

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 43,190

SSRN RANKINGS

Top 43,190

in Total Papers Downloads

2,436

TOTAL CITATIONS

4

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

Number of pages: 56 Posted: 16 Nov 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 1,089 (42,836)
Citation 2

Abstract:

Loading...

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

2.

When Does the 1/N Rule Work?

Number of pages: 27 Posted: 05 Feb 2018 Last Revised: 28 Oct 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 663 (83,583)
Citation 1

Abstract:

Loading...

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

3.

Age Matters

Number of pages: 44 Posted: 29 May 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 463 (130,621)
Citation 1

Abstract:

Loading...

Bootstrapped portfolio, rebalanced portfolio, age effect, size effect

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, Department of Statistics & Actuarial Science
Downloads 221 (288,152)

Abstract:

Loading...

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