·Scientific Research
Current position:
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Scientific Research
Research Field
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High-dimensional covariance matrix, asset pricing, portfolio selection, corporate finance
Paper Publications
MORE+- [1] A new five-factor green pricing model in China.Applied Economics
- [2] Overseas exposures, global events, and mutual fund performance.International Review of Economics and Finance
- [3] Zhao Zhao; Olivier Ledoit; Hui Jiang; Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix, Journal of Financial Econometrics, 2023, 21(1): 73-105.
- [4] Gianluca De Nard; Zhao Zhao; Using, taming or avoiding the factor zoo? A double shrinkage estimator for covariance matrices, Journal of Empirical Finance, 2023, 72: 23-35.
- [5] Gianluca De Nard; Zhao Zhao ; A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited, International Review of Economics and Finance, 2022, 80: 654-676
Patents
- No Content
Published Books
Research Projects
- [1] 国家自然科学基金面上项目，72173048，双重压缩的资产收益因子模型及其在我国资本市场的应用，2022/01-2025/12，48万元，在研，主持；
- [2] 国家自然科学基金青年项目，71803055，高频数据高维协方差矩阵的非线性压缩估计及其在投资组合选择中的应用，2019/01-2021/12，18万元，结题，主持；
- [3] 教育部人文社会科学研究青年基金项目，18YJC790232，非线性压缩估计及其在投资组合选择中的应用研究，2018/07-2020/12，8万元，结题，主持；
- [4] 第62批中国博士后科学基金面上项目一等资助，2017M620306，高维协方差矩阵非线性压缩的理论与应用研究，2018/01-2019/12，8万元，结题，主持。