📝 Publications
📈 Portfolio Theory and Investing
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The Health of Nations Fund: Financing Global Drug Development
Joonhyuk Cho, Manish Singh, Chaoyi Zhao, Shomesh E. Chaudhuri, and Andrew W. Lo.
PLOS Global Public Health, forthcoming, 2026. -
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] - 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]- Second place in the Best Paper Prize for Young Scholars at the Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch) in 2023.
- Reported by Center for Statistical Science, Peking University.
- 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]- Winner of the S&P Global Academic ESG Research Award.
- Reported by Practical Applications [PDF].
- Reported by Center for Statistical Science and School of Mathematical Sciences, Peking University.
- Order Types and Natural Price Change: Model and Empirical Study of the Chinese Market
Siyu Liu, Chaoyi Zhao, and Lan Wu.
International Journal of Financial Engineering, 9(04), 2250033, 2022. [PDF] [Journal]
💻 High-dimensional Statistics, Machine Learning, and Artificial Intelligence
- 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]- Reported by Center for Statistical Science, Peking University.
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The Evolution of Discrimination Under Finite Memory Constraints
Andrew W. Lo, Ruixun Zhang, and Chaoyi Zhao.
Scientific Reports, 15, 31774, 2025. [PDF] [Appendix] [Journal] -
Interpretable Image-Based Deep Learning for Price Trend Prediction in ETF Markets
Ruixun Zhang, Chaoyi Zhao, and Guanglian Lin.
The European Journal of Finance, 2023, forthcoming. [PDF] [Journal] - The Success of AdaBoost and its Application in Portfolio Management
Yijian Chuan, Chaoyi Zhao, Zhenrui He, and Lan Wu.
International Journal of Financial Engineering, 8(02), 2142001, 2021. [PDF] [Journal]
🧓 Actuarial Sciences
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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]
📚 Books
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Quantitative Investing (量化投资), in Chinese
Jian Sun, Lan Wu, and Chaoyi Zhao.
Science Press (科学出版社), 2023. [Link] -
Financial Market Risk Management Analytics (金融市场风险管理分析), in Chinese
Frank Hugh Koger. Translated by Chaoyi Zhao.
Truth & Wisdom Press (格致出版社), 2022. [Link] -
The Maths Book (数学百科), in Chinese
Dorling Kindersley Ltd. Translated by Chaoyi Zhao.
Publishing House of Electronics Industry (电子工业出版社), 2021. [Link]
🎓 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.
👩🏽💻 Preprints
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No Asset Is an Island: A Real Options Framework for Valuing Interdependent Projects
Shomesh E. Chaudhuri, Andrew W. Lo, and Chaoyi Zhao.
Under review. -
Optimal Multi-Period Dynamic Portfolios for Sustainable Investing
Danping Li, Ruixun Zhang, and Chaoyi Zhao.
Under review. [SSRN] -
Underperformance of Performance Shares
Marc Hodak, Andrew W. Lo, Austin Starkweather, and Chaoyi Zhao.
Working paper. [SSRN] -
Breaking the Factor Zootopia: Factor Selection via Significant Tests of Multi-Task Lasso
Chaoyi Zhao and Lan Wu.
Working paper.