Guofu Zhou
Frederick Bierman & James E. Spears Professor of Finance
Area of Expertise:
Asset Pricing, Option Pricing
Research Interests:
Portfolio choice, asset allocation, technical analysis, bubbles and crashes, anomalies, asymmetric information, asset pricing tests, Bayesian learning, model selection, econometric methods in finance, and real option
Selected Publications:- "Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies", Journal of Financial Economics, 204-215, with J. Tu, 2011
- "Is the Recent Financial Crisis Really a 'Once-in-a-century' Event?", Financial Analysts Journal, Issue 1, 24-27, with Y. Zhu, 2010
- "On Cross-section Analysis of Stock Returns", Annual Review of Financial Economics, 49-74, with R. Jagannathan, E. Schaumburg, 2010
- "Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy", Review of Financial Studies, 821-862, with D. Rapach, J. Strauss, 2010
- "Robust Portfolios: Contributions from Operations Research & Finance", Annals of Operations Research, 191-220, with F. Fabozzi, D. Huang, 2010
- "What Will the Likely Range of My Wealth Be? Author Response", Financial Analysts Journal, Issue 3, 12, 2010
- "Bayesian Inference in Asset Pricing Tests", Financial Econometrics, with C. Harvey, 2006
- "Optimal Portfolio Choice with Parameter Uncertainty", Journal of Financial and Quantitative Analysis, 621-656, with R. Kan, 2007
- "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation", Review of Financial Studies, 1547-1581, 2007
- "Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages", Journal of Financial Economics, 519-544, with Y. Zhu, 2009
View More Publications
Academic/Professional Activities:- Editor, Associate Editor, Journal of Financial & Quantitative Analysis
- Editorial Review Board Member, Journal of Portfolio Management
Awards/Honors:- Best Paper Award, The Chinese Finance Association, 2010
- Reid Teaching Award (MSFin), Washington University, 2010
- Special Recognition for Excellence, Washington University, 2003
- MBA Teacher of the Year, Washington University, 1997
Personal Interests:
Professor Zhou's personal interests are reading history and philosophy, playing chess, and lifting weights.
|
Guofu Zhou joined Washington University in 1990 and has been teaching and conducting research at the Olin Business School ever since. He has been consistent in good teaching and won MBA Teacher of the Year in 1997. His research interests are primarily in asset pricing tests, asset allocation, portfolio optimization, Bayesian learning. He is the first to offer an exact test to one of the fundamental asset pricing models, one of the first to apply multivariate Bayesian theory in finance to test capital asset pricing models, to study the extent to which stock returns are predictable, to measure the pricing errors of the arbitrage pricing theory, to design an optimal 3-fund portfolio rule under parameter uncertainty, to derive a model-free asymmetry test, and to provide a theoretical foundation for the use of technical analysis, the moving average in particular, in investment.
Guofu Zhou's Home Page
Guofu Zhou's Curriculum Vitae
Email: zhou@wustl.edu
Phone: (314) 935-6384
PhD 1990, Duke University
MA 1987, Duke University
MS 1985, Academia Sinica
BS 1982, Chengdu College of Geology
|