Zhidong Bai

Northeast Normal University

Changchun

China

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 8,190

SSRN RANKINGS

Top 8,190

in Total Papers Downloads

5,440

CITATIONS
Rank 3,170

SSRN RANKINGS

Top 3,170

in Total Papers Citations

162

Scholarly Papers (15)

1.

Making Markowitz's Portfolio Optimization Theory Practically Useful

Number of pages: 45 Posted: 08 May 2006 Last Revised: 08 Oct 2016
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2,869 (3,860)

Abstract:

Loading...

Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

2.

Asset Performance Evaluation with the Mean-Variance Ratio

Number of pages: 29 Posted: 08 May 2006 Last Revised: 20 Oct 2016
Northeast Normal University, SIM University, Northeast Normal University and Asia University, Department of Finance
Downloads 483 (57,119)

Abstract:

Loading...

Sharpe ratio, performance hypothesis testing, Normal distribution, uniformly most powerful unbiased test, CTA funds

3.

Multivariate Linear and Non-Linear Causality Tests

Number of pages: 25 Posted: 22 May 2009 Last Revised: 22 Jul 2010
Zhidong Bai, Bingzhi Zhang and Wing-Keung Wong
Northeast Normal University, Columbia University-Department of BioStatistics and Asia University, Department of Finance
Downloads 394 (73,116)
Citation 13

Abstract:

Loading...

linear Granger, causality, nonlinear Granger causality, U-statistics

4.

An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

Number of pages: 13 Posted: 04 Feb 2009 Last Revised: 07 Feb 2009
Zhidong Bai, Keyan Wong and Wing-Keung Wong
Northeast Normal University, National University of Singapore (NUS) and Asia University, Department of Finance
Downloads 322 (92,154)

Abstract:

Loading...

Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test

5.

Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test

Number of pages: 14 Posted: 12 Mar 2010
Zhidong Bai, Keyan Wang and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 291 (102,895)
Citation 12

Abstract:

Loading...

Coefficient of variation, Sharpe ratio, mean-variance ratio, test statistic, hypothesis testing, uniformly most powerful unbiased test

6.

On the Markowitz Mean-Variance Analysis of Self-Financing Portfolios

Number of pages: 21 Posted: 19 Oct 2006 Last Revised: 18 Aug 2016
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 204 (147,175)
Citation 31

Abstract:

Loading...

Self-Financing Portfolios, Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 02 Oct 2010
Zhidong Bai, Huixia Liu, Wing-Keung Wong and Hua Li
Northeast Normal University, Northeast Normal University, Asia University, Department of Finance and Northeast Normal University
Downloads 191 (156,399)
Citation 47

Abstract:

Loading...

Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function, test statistics, hypothesis testing

Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

The Econometrics Journal, Vol. 14, Issue 2, pp. 278-303, 2011
Number of pages: 26 Posted: 08 Jun 2011
Zhidong Bai, Hua Li, Huixia Liu and Wing‐Keung Wong
Northeast Normal University, Northeast Normal University, Northeast Normal University and Hong Kong Baptist University (HKBU)
Downloads 2 (661,121)
Citation 1
  • Add to Cart

Abstract:

Loading...

Hypothesis testing, Markowitz stochastic dominance, Prospect stochastic dominance, Risk averse, Risk seeking, RS‐shaped utility function, S‐shaped utility function, Test statistics

8.

A Note on the Stochastic Dominance Test Statistics

Number of pages: 25 Posted: 24 Jun 2009
Zhidong Bai and Wing-Keung Wong
Northeast Normal University and Asia University, Department of Finance
Downloads 186 (160,311)
Citation 7

Abstract:

Loading...

stochastic dominance, risk aversion, test statistics, hypothesis testing

9.

Multivariate Causality Tests with Simulation and Application

Number of pages: 30 Posted: 18 Jun 2010 Last Revised: 20 Jun 2010
Northeast Normal University, Columbia University-Department of BioStatistics, Hong Kong Baptist University (HKBU) - Department of Mathematics and Asia University, Department of Finance
Downloads 181 (164,290)
Citation 2

Abstract:

Loading...

linear Granger Causality, Nonlinear Granger Causality, U-Statistics, Simulation, Stock Markets

10.

Panel Non-Linear Causality Test

Number of pages: 8 Posted: 21 May 2015
Zhidong Bai, Wenjing Xie and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) – Department of Accountancy and Law - Department of Economics and Asia University, Department of Finance
Downloads 179 (166,774)
Citation 3

Abstract:

Loading...

linear Granger causality test, nonlinear Granger causality test, panel data, power, size

11.

Prospect Performance Evaluation: Making a Case for a Non-Asymptotic UMPU Test

Number of pages: 31 Posted: 16 Dec 2011
Asia University, Department of Finance, University of Western Ontario - Department of Statistical and Actuarial Sciences, Northeast Normal University and affiliation not provided to SSRN
Downloads 62 (346,589)
Citation 15

Abstract:

Loading...

The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Number of pages: 22 Posted: 25 Jul 2018
Shandong University of Finance and Economics, Northeast Normal University, Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo and Asia University, Department of Finance
Downloads 42 (419,949)
Citation 2

Abstract:

Loading...

Latin American Stock Markets, Randomness, Market Efficiency, Stochastic Dominance

The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Estudios de Economía. Vol. 46 - Nº 1, Junio 2019.
Number of pages: 26 Posted: 11 Jun 2019
Shandong University of Finance and Economics, Northeast Normal University, Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo and Hong Kong Baptist University (HKBU)
Downloads 3 (649,932)

Abstract:

Loading...

Latin American Stock Markets, Randomness, Market Efficiency, Stochastic Dominance

13.

Revisiting the Hiemstra-Jones Test

Number of pages: 13 Posted: 25 Oct 2016 Last Revised: 03 Nov 2016
Zhidong Bai, Yongchang Hui and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance
Downloads 29 (466,369)

Abstract:

Loading...

Hiemstra-Jones test, Nonlinear Granger Causality

14.

Enhancement of the Applicability of Markowitz's Portfolio Optimization by Utilizing Random Matrix Theory

Mathematical Finance, Vol. 19, Issue 4, pp. 639-667, October 2009
Number of pages: 29 Posted: 21 Oct 2009
Zhidong Bai, Huixia Liu and Wing-Keung Wong
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2 (631,025)
Citation 48
  • Add to Cart

Abstract:

Loading...

15.

A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Applications

Posted: 06 Mar 2015 Last Revised: 09 Mar 2016
Zhidong Bai, Yongchang Hui and Wing-Keung Wong
Northeast Normal University, Hong Kong Baptist University (HKBU) and Asia University, Department of Finance

Abstract:

Loading...

Nonlinearity, U-statistics, Volterra expansion, sunspots, efficient market, simulation