Author Page for Xiaolu Wang

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254

Number of pages: 48 Posted: 10 Feb 2016 Last Revised: 06 Jan 2021

University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School

Downloads 1,509 (27,117)

Citation 11

Abstract:

2.

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 59 Posted: 03 Oct 2019 Last Revised: 25 Mar 2024

Raymond Kan, Xiaolu Wang and Xinghua Zheng

University of Toronto - Rotman School of Management, Iowa State University and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

Downloads 1,054 (45,767)

Citation 3

Abstract:

3.

On the Distribution of the Sample Autocorrelation Coefficients

Number of pages: 52 Posted: 24 Nov 2008 Last Revised: 10 Aug 2009

Raymond Kan and Xiaolu Wang

University of Toronto - Rotman School of Management and Iowa State University

Downloads 725 (76,244)

Citation 1

Abstract:

4.

On the Economic Value of Alphas

Number of pages: 77 Posted: 15 Mar 2011 Last Revised: 28 May 2019

Raymond Kan and Xiaolu Wang

University of Toronto - Rotman School of Management and Iowa State University

Downloads 609 (95,274)

Abstract:

5.

Price Shocks, News Disclosures, and Asymmetric Drifts

Accounting Review, Vol. 89, No. 5, 2014

Number of pages: 52 Posted: 08 Aug 2009 Last Revised: 13 Jan 2016

Hai Lu, Kevin Q. Wang and Xiaolu Wang

University of Toronto - Rotman School of Management, University of Toronto - Joseph L. Rotman School of Management and Iowa State University

Downloads 583 (100,730)

Citation 4

Abstract:

6.

Option Backdating Announcements and Information Advantage of Institutional Investors

Downloads 254 (257,611)

Citation 2

2

Option Backdating Announcements and Information Advantage of Institutional Investors

Rotman School of Management Working Paper No. 2513688

Number of pages: 44 Posted: 23 Oct 2014 Last Revised: 26 Mar 2016

Wenli Huang, Hai Lu and Xiaolu Wang

Hong Kong Polytechnic University, University of Toronto - Rotman School of Management and Iowa State University

Downloads 202 (320,129)

Abstract:

Option Backdating Announcements and Information Advantage of Institutional Investors

Journal of Accounting, Auditing and Finance, Forthcoming

Number of pages: 44 Posted: 27 Jun 2018

Wenli Huang, Hai Lu and Xiaolu Wang

Hong Kong Polytechnic University, University of Toronto - Rotman School of Management and Iowa State University

Downloads 52 (839,287)

Citation 2

Abstract:

7.

Optimal Portfolio Choice with Unknown Benchmark Efficiency

Rotman School of Management Working Paper No. 3760640

Number of pages: 74 Posted: 23 Feb 2021 Last Revised: 23 May 2023

Raymond Kan and Xiaolu Wang

University of Toronto - Rotman School of Management and Iowa State University

Downloads 245 (267,000)

Citation 8

Abstract:

8.

The Distribution of Sample Mean-Variance Portfolio Weights

Random Matrices: Theory and Applications (2024), 13(1)

Number of pages: 19 Posted: 18 May 2023 Last Revised: 25 Nov 2024

Raymond Kan, Nathan Lassance and Xiaolu Wang

University of Toronto - Rotman School of Management, LFIN/LIDAM, UCLouvain and Iowa State University

Downloads 217 (300,360)

Abstract:

9.

The distribution of out-of-sample returns of estimated optimal portfolios

Number of pages: 83 Posted: 22 Aug 2024

Nathan Lassance, Raymond Kan and Xiaolu Wang

LFIN/LIDAM, UCLouvain, University of Toronto - Rotman School of Management and Iowa State University

Downloads 157 (402,348)

Abstract:

10.

Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications

Econometric Theory, Forthcoming

Number of pages: 39 Posted: 20 Mar 2007 Last Revised: 01 Mar 2008

Raymond Kan, Xiaolu Wang and Grant Hillier

University of Toronto - Rotman School of Management, Iowa State University and University of Southampton - Division of Economics

Downloads 110 (533,029)

Citation 3

Abstract:

11.

Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors

Number of pages: 44 Posted: 28 May 2009 Last Revised: 23 Mar 2016

Grant Hillier, Raymond Kan and Xiaolu Wang

University of Southampton - Division of Economics, University of Toronto - Rotman School of Management and Iowa State University

Downloads 99 (575,294)

Citation 4

Xiaolu Wang

Iowa State University

Associate Professor

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Scholarly Papers (11)

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

Abstract:

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Abstract:

On the Distribution of the Sample Autocorrelation Coefficients

Abstract:

On the Economic Value of Alphas

Abstract:

Price Shocks, News Disclosures, and Asymmetric Drifts

Abstract:

Option Backdating Announcements and Information Advantage of Institutional Investors

Option Backdating Announcements and Information Advantage of Institutional Investors

Abstract:

Option Backdating Announcements and Information Advantage of Institutional Investors

Abstract:

Optimal Portfolio Choice with Unknown Benchmark Efficiency

Abstract:

The Distribution of Sample Mean-Variance Portfolio Weights

Abstract:

The distribution of out-of-sample returns of estimated optimal portfolios

Abstract:

Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications

Abstract:

Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors

Abstract: