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Zhou, Guofu

Professor of Finance
Washington University


Educational Background

Ph.D. in Economics, Duke University, USA


Guofu is Frederick Bierman and James E. Spears Professor of Finance at Olin Business School (OBS), Washington University. Prior to joining OBS in 1990, he studied at Duke University for his PhD in economics and MA in mathematics.

Honors / Achievements

Best Paper Award (on China's capital market) The Chinese Finance Association, 2010

Short BIO

Professor Zhou research interests include asset pricing tests, asset allocation, portfolio optimization, Bayesian learning and model evaluations, econometric methods in finance, futures, options, derivatives, the term structure of interest rates, and the real option valuation of corporate projects.
His professional services including Associated Editor for Journal of Financial and Quantitative Analysis, Journal of Portfolio Management; Director for Asian Finance Association etc.


  • Financial Economics  with Frank Fabozzi and Ted Neave.

    A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

    (with Yufeng Han and Ke Yang) Journal of Financial and Quantitative Analysis, forthcoming

    International Stock Return Predictability: What is the Role of the United States?

    (with David E. Rapach and Jack K. Strauss; first draft, July 2009; current version: May 22, 2012) Journal of Finance, forthcoming.

    Volatility Trading: What is the Role of the Long-Run Volatility Component?

    (with Yingzi Zhu; Current version: August, 2010) Journal of Financial and Quantitative Analysis, 47, 2012, 273--307.

    Tests of Mean-Variance Spanning

    (with Raymond Kan) (Matlab Programs) Annals of Economics and Finance 13, 2012, 145-193.

    How Predictable Is the Chinese Stock Market?

    (with Jiang Fuwei, David Rapach, Jack Strauss and Jun Tu) Journal of Financial Research 9, 2011, 107-121.

    Markowitz Meets Talmud: A Combination of Sophisticated and Naive

    Diversification Strategies

    (with Jun Tu)(The Longer 2008 EFA version) Journal of Financial Economics 99, 2011, 204--215.

    Predicting Market Components Out of Sample: Asset Allocation


    (with Aiguo Kong, David Rapach and Jack Strauss) Annual Review of Financial Economics 2, 2010, 49--74.

    Bayesian Portfolio Analysis

    (with Doron Avramov) Annual Review of Financial Economics 2, 2010, 25--47.

    Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice

    Under Parameter Uncertainty

    (with Jun Tu; The First Version, April 2004) Economics Letters 108, 2010, 184--186.

    Robust Portfolios: Contributions from Operations Research and Finance

    (with Frank J. Fabozzi and Dashan Huang) Annals of Operations Research 176, 2010, 191--220.

    Limited Participation, Consumption,and Saving Puzzles: A Simple Explanation and the Role of Insurance

    (with Todd Gormley and Hong Liu) Journal of Financial Economics 96, 2010, 331--344.

    Out-of-Sample Equity Premium Prediction: Combination Forecasts and

    Links to the Real Economy

    (with David Rapach and Jack Strauss) Review of Financial Studies 23, 2010, 821--862.

    Is the Recent Financial Crisis Really a `Once-in-acentury' Event?

    (with Yingzi Zhu) Financial Analysts Journal 66 (1), 2010, 24--27.

    Beyond Black-Litterman: Letting the Data Speak Financial Analysts Journal 65 (4), 2009, 68--77.

    What Will the Likely Range of My Wealth Be?

    (with Raymond Kan) Financial Analysts Journal 65 (4), 2009, 68--77.

    Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages

    (with Yingzi Zhu) Journal of Financial Economics 92, 2009, 519--544.

    On the Fundamental Law of Active Portfolio Management: How to Make

    Conditional Investments Unconditionally Optimal? Journal of Portfolio Management 35 (1), 2008, 12--21.

    On the Fundamental Law of Active Portfolio Management: What Happens if Our Estimates Are Wrong? Journal of Portfolio Management 34 (4), 2008, 26—33

    Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

    (with Yongmiao Hong and Jun Tu) Review of Financial Studies 20, 2007, 1547—1581

    Optimal Portfolio Choice with Parameter Uncertainty

    (with Raymond Kan) Journal of Financial and Quantitative Analysis 42, 2007, 621—656

    Estimating and Testing Beta Pricing Models: Alternative Methods and

    Their Performance in Simulations

    (with Jay Shanken) Journal of Financial Economics 84, 2007, 40--86.

    Using Bootstrap to Test Portfolio Efficiency

    (with Pin-Huang Chou) Annals of Economics and Finance 7, 2006, 217--249.

    Portfolio Optimization under Asset Pricing Anomalies

    (with Pin-Huang Chou and Wen-Shen Li) Japan & The World Economy 18, 2006, 121--142.

    A New Variance Bound on the Stochastic Discount Factor

    (with Raymond Kan) Journal of Business 79, 2006, 941—961

    Data-generating Process Uncertainty: What Difference Does It Make in

    Portfolio Decisions?

    (with Jun Tu) Journal of Financial Economics 72, 2004, 385--421.

    What Determines Expected International Asset Returns?

    (with Campbell Harvey and Bruno Solnik) Annals of Economics and Finance 3, 2002, 83--127.

    On Rate of Convergence of Discrete-time Contingent Claims

    (with Steve Heston) Mathematical Finance 10, 2000, 53--75.

    Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

    (with Pin-Huang Chou and Yuan-Lin Hsu) Annals of Economics and Finance 1, 2000, 79--100.

    Security Factors as Linear Combinations of Economic Variables

    Journal of Financial Markets 2, 1999, 403--432

    Testing Multi-beta Pricing Models

    (with Raja Velu) Journal of Empirical Finance 6, 1999, 219--241

    A Critique of the Stochastic Discount Factor Methodology

    (with Raymond Kan) Journal of Finance 54, 1999, 1021--1048

    Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation

    (with Phil Dybvig and David Beaglehole) Financial Analysts Journal 53, 1997, 62--68.

    Temporary Components of Stock Returns: What Do the Data Tell Us?

    (with Chris Lamoureux) Review of Financial Studies 9, 1996, 1033--1059.

    Measuring the Pricing Error of the Arbitrage Pricing Theory

    (with John Geweke) Review of Financial Studies 9, 1996, 553—583

    Time-to-Build Effects and the Term Structure

    (with Jack Strauss) Journal of Financial Research 18, 1995, 115—127

    Small Sample Rank Tests with Applications to Asset Pricing

    Journal of Empirical Finance 2, 1995, 71--93.

    Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums

    Review of Financial Studies 7, 1994, 687--709

    Asset Pricing Tests Under Alternative Distributions

    Journal of Finance 48, 1993, 1927--1942

    International Asset Pricing with Alternative Distributional Specifications

    (with Campbell Harvey) Journal of Empirical Finance 1, 1993, 107--131.

    Small Sample Tests of Portfolio EfficiencyJournal of Financial Economics 30, 1991, 165—191

    Algorithms for the Estimation of Possibly

    Journal of Time Series Analysis 13, 1991, 171--188.

    Nonstationary Time Series Bayesian Inference in Asset Pricing Tests

    (with Campbell Harvey) Journal of Financial Economics 26, 1990, 221—254