Huazhu Zhang

Nomura Group

Japan

SCHOLARLY PAPERS

3

DOWNLOADS

341

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Modeling Fundamental Analysis into Portfolio Selection

Quantitative Finance, Forthcoming
Number of pages: 26 Posted: 29 Mar 2016 Last Revised: 22 Jan 2018
Huazhu Zhang and Cheng Yan
Nomura Group and Essex Business School
Downloads 246 (187,703)

Abstract:

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Fundamental Analysis; Mean-reversion; Appraisal/Information Ratio; Portfolio Selection

2.

Mean-Variance versus Naïve Diversification: The Role of Mispricing

Journal of International Financial Markets, Institutions and Money, 2017 (48), 61-81, 2017
Number of pages: 48 Posted: 25 Mar 2017 Last Revised: 14 Sep 2017
Cheng Yan and Huazhu Zhang
Essex Business School and Nomura Group
Downloads 92 (415,149)

Abstract:

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portfolio choice, mean-variance, 1/N naive diversification, mispricing

3.

A Skeptical Appraisal of the Bootstrap Approach in Fund Performance Evaluation

Financial Markets, Institutions & Instruments, Vol. 27, Issue 2, pp. 49-86, 2018
Number of pages: 38 Posted: 16 Apr 2018
Huazhu Zhang and Cheng Yan
Nomura Group and Durham Business School
Downloads 3 (931,393)

Abstract:

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alpha, bootstrapping, Fama–French model, Monte Carlo simulation, performance evaluation

Other Papers (1)

Total Downloads: 43
1.

A Skeptical Appraisal of the Bootstrap Approach in Fund Performance Evaluation

Number of pages: 70 Posted: 06 Aug 2015 Last Revised: 15 Sep 2017
Huazhu Zhang and Cheng Yan
Nomura Group and Essex Business School
Downloads 43

Abstract:

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Monte Carlo simulation; Performance evaluation; Bootstrapping; Fama–French model; Alpha