Guofu Zhou
Professor of Finance
Areas of Expertise:
Finance/Investments - Investment/Security Pricing/Portfolio Theory; Finance/Investments - Option Pricing; Statistics/Econometrics
Research interests:
Asset pricing tests, asset allocation, portfolio optimization, Bayesian learning
Selected Publications:
To view publications by this professor, visit the Publications and Working Papers section of our site.
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"Bayesian Inference in Asset Pricing Tests," Journal of Financial Economics, with C. Harvey, 1990
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"Measuring the Pricing Error of the Arbitrage Pricing Theory," in Review of Financial Studies, with J. Geweke, 1996
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"Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, with R. Kan, 2007
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"Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," in Review of Financial Studies, with Y. Hong, J. Tu, 2007
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"Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages," Journal of Financial Economics, with Y. Zhu, forthcoming
Academic/professional activities:
Associate Editor: Journal of Financial and Quantitative Analysis
Member: American Finance Association
Awards/honors:
Marcile and James Reid Professor, 1998-99
MBA Teacher of the Year, Washington University, 1997
Fellow -- Research and Teaching Assistantships, Duke University, 1985-1990
List of Excellent Students, Sichuan Bureau of Education, China
Personal interests:
Professor Zhou enjoys reading novels, philosophy, playing cards, chess, and lifting weights.
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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 (pdf *)
Email: zhou@wustl.edu
Phone: (314) 935-6384
Ph.D. 1990, Duke University
M.A. 1987, Duke University
M.S. 1985, Academia Sinica, China
B.S. 1982, Chengdu College of Geology, China
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