Weihao Han

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

615

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

The Diversification Benefits of Cryptocurrency Asset Categories and Estimation Risk: Pre and Post COVID-19

Number of pages: 97 Posted: 03 Aug 2021
University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Managementaffiliation not provided to SSRN, University of York - The York Management School and University of Reading - ICMA Centre
Downloads 316 (121,221)

Abstract:

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Portfolios, Cryptocurrencies, Bayes-Stein, COVID-19, Lasso, Elastic net, Shrunk Wishart stochastic volatility, Gaussian random projection, Black-Litterman, Higher moments

2.

Cryptocurrency Factor Portfolios: Performance, Decomposition and Pricing Models

Number of pages: 104 Posted: 01 Jun 2021
University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Managementaffiliation not provided to SSRN, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 299 (128,546)

Abstract:

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Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing