Empirical Asset Pricing and Portfolio Management
Published:
Timeline: Mar. 2025 – Jun. 2025
Advisor: Prof. Hai Huang, Peking University
- Market Analysis: Conducted empirical research on the Chinese A-share market, analyzing risk-return profiles and market volatility drivers across historical cycles.
- Optimization: Constructed optimal investment portfolios utilizing the Markowitz Mean-Variance framework, integrating fundamental quantitative stock selection.
- Evaluation: Evaluated mutual fund performance by implementing Treynor-Mazuy (TM) and Henriksson-Merton (HM) models to assess market-timing and stock-picking capabilities.