Zhenyu Wang

Names

Contact

Affiliations

• Federal Reserve Bank of New York
  • website
  • location: New York City, New York (United States)
• Federal Reserve Bank of New York → Research and Statistics Group
  • website
  • location: New York City, New York (United States)

Research profile

author of:

• Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
  by Edward J. Green & Jose A. Lopez & Zhenyu Wang
• Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
  by Ravi Jagannathan & Zhenyu Wang
• Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
  by Zhenyu Wang & Xiaoyan Zhang
• Y2K options and the liquidity premium in Treasury bond markets
  by Suresh Sundaresan & Zhenyu Wang
• The Federal Reserve's imputed cost of equity capital: a survey
  by Edward J. Green & Jose A. Lopez & Zhenyu Wang
• Arbitrage pricing theory
  by Gur Huberman & Zhenyu Wang
• The conditional CAPM and the cross-section of expected returns
  by Ravi Jagannathan & Zhenyu Wang
• THE CAPM IS ALIVE AND WELL
  by Ravi Jagannathan & Zhenyu Wang
• Assessing the impact of short-sale constraints on the gains from international diversification
  by Kai Li & Asani Sarkar & Zhenyu Wang
• Generalized Method of Moments: Applications in Finance.
  by Jagannathan, Ravi & Skoulakis, Georgios & Wang, Zhenyu
• Diversification benefits of emerging markets subject to portfolio constraints
  by Li, Kai & Sarkar, Asani & Wang, Zhenyu
• Efficiency loss and constraints on portfolio holdings
  by Wang, Zhenyu
• Portfolio characterization of risk aversion
  by Wang, Zhenyu & Werner, Jan
• The CAPM is alive and well
  by Ravi Jagannathan & Zhenyu Wang
• A Shrinkage Approach to Model Uncertainty and Asset Allocation
  by Zhenyu Wang
• The Conditional CAPM and the Cross-Section of Expected Returns.
  by Jagannathan, Ravi & Wang, Zhenyu
• The effect of the Term Auction Facility on the London inter-bank offered rate
  by James J. McAndrews & Asani Sarkar & Zhenyu Wang
• Design of contingent capital with a stock price trigger for mandatory conversion
  by Suresh Sundaresan & Zhenyu Wang
• The Federal Reserve banks' imputed cost of equity capital
  by Edward J. Green & Jose A. Lopez & Zhenyu Wang
• Did the Fed’s Term Auction Facility Work?
  by James J. McAndrews & Asani Sarkar & Zhenyu Wang
• Valuing the Treasury's Capital Assistance Program
  by Paul Glasserman & Zhenyu Wang
• Performance maximization of actively managed funds
  by Paolo Guasoni & Gur Huberman & Zhenyu Wang