Long Zhao

NUS Business School - Department of Analytics and Operations

Assistant Professor

15 Kent Ridge Dr

Singapore, Singapore 119245

Singapore

  • NUS Business School - Department of Analytics and Operations

SCHOLARLY PAPERS

6

DOWNLOADS

1,331

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (6)

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1.

Unified Classical and Robust Optimization for Least Squares

Number of pages: 47 Posted: 05 Jun 2018 Last Revised: 06 Apr 2022
Long Zhao, Deepayan Chakrabarti, Kumar Muthuraman and Kumar Muthuraman
NUS Business School - Department of Analytics and Operations, University of Texas at Austin - Department of Information, Risk and Operations Management and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 366 (131,456)

Abstract:

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robust optimization, estimation error

2.

Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

Number of pages: 35 Posted: 17 Jul 2017 Last Revised: 23 Oct 2018
Long Zhao, Deepayan Chakrabarti, Kumar Muthuraman and Kumar Muthuraman
NUS Business School - Department of Analytics and Operations, University of Texas at Austin - Department of Information, Risk and Operations Management and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 355 (135,930)
Citation 1

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portfolio choice, estimation error

3.

Tractable Robust Supervised Learning Models

Number of pages: 40 Posted: 14 Dec 2021
Melvyn Sim, Long Zhao and Minglong Zhou
National University of Singapore (NUS) - NUS Business School, NUS Business School - Department of Analytics and Operations and Fudan University - School of Management
Downloads 212 (229,376)

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Regression, classification, regularization, robust optimization, robust satisficing

4.

Leveraging Latent Factors Using the Equally Weighted Portfolio

Number of pages: 36 Posted: 07 Feb 2022 Last Revised: 23 Mar 2023
Long Zhao and Rui Gao
NUS Business School - Department of Analytics and Operations and University of Texas at Austin - Department of Information, Risk, and Operations Management
Downloads 194 (248,632)

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portfolio optimization, distributionally robust optimization, estimation error, principal component analysis, dimensionality reduction

5.

Reappraise the Maximum-Sharpe Portfolio

Number of pages: 12 Posted: 18 Dec 2019 Last Revised: 22 Feb 2022
Long Zhao
NUS Business School - Department of Analytics and Operations
Downloads 176 (270,986)
Citation 1

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Maximum-Sharpe Portfolio, Minimum-Variance Portfolio, Expected Return Estimation

6.

Constructing Quantiles via Forecast Errors: Theory and Empirical Evidence

Number of pages: 37 Posted: 02 Mar 2023
Zhi Chen and Long Zhao
Business School, National University of Singapore and NUS Business School - Department of Analytics and Operations
Downloads 28 (748,601)

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Quantile forecast, point forecast, forecast error, limited sample size, M5 accuracy competition