📝 Publications

📈 Portfolio Theory and Investing

• High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
  Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, Lan Wu, and Ruixun Zhang.
  Pacific-Basin Finance Journal, 90, 102681, 2025. [PDF] [Appendix] [Journal]

• On Consistency of Signature Using Lasso
  Xin Guo, Binnan Wang, Ruixun Zhang, and Chaoyi Zhao.
  Operations Research, 73(5), 2530-2549, 2025. [PDF] [Appendix] [Journal]

• Optimal Impact Portfolios with General Dependence and Marginals
  Andrew W. Lo, Lan Wu, Ruixun Zhang, and Chaoyi Zhao.
  Operations Research, 72(5), 1775-1789, 2024. [PDF] [Appendix] [Journal]

• Measuring and Optimizing the Risk and Reward of Green Portfolios
  Andrew W. Lo, Ruixun Zhang, and Chaoyi Zhao.
  The Journal of Impact and ESG Investing, 3(2), 55-93, 2022. [PDF] [Journal]

🧓 Actuarial Sciences

• The Checkerboard Copula and Dependence Concepts
  Liyuan Lin, Ruodu Wang, Ruixun Zhang, and Chaoyi Zhao.
  SIAM Journal on Financial Mathematics, 16(2), 426-447, 2025. [PDF] [Journal]

• Construct Smith-Wilson Risk-Free Interest Rate Curves with Endogenous and Positive Ultimate Forward Rates
  Chaoyi Zhao, Zijian Jia, and Lan Wu.
  Insurance: Mathematics and Economics, 114, 156-175, 2024. [PDF] [Journal]

🎓 Doctoral Dissertation

• Stochastic Models and Statistical Analysis for High-dimensional Multi-factor Models and Induced Order Statistics (高维多因子模型与伴随次序统计量的随机模型与统计分析), in Chinese Chaoyi Zhao.
  Doctoral Dissertation in Statistics, Peking University, 2024.