Publications

Empirical Evalutaion of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims
With Xiaoyan Zhang
Journal of Empirical Finance, Forthcoming
See also ››
Federal Reserve Bank of New York Staff Reports 265

Performance Maximization of Actively Managed Funds
With Paolo Guasoni and Gur Huberman
Journal of Financial Economics, 101 (3), 574-591
See also ››
Federal Reserve Bank of New York Staff Reports 427

Valuing the Treasury's Capital Assistance Program
With Paul Glasserman
Management Science, 57 (7), 1195-1211
Appendix  
See also ››
Federal Reserve Bank of New York Staff Reports, Number 413, December 2009

Y2K Options and Liquidity Premium in Treasury Bond Markets 
With Suresh Sundaresan
Review of Financial Studies, (2009) 22 (3): 1021-1056
42 pages / 442 kb

Arbitrage Pricing Theory 
With Gur Huberman,
The New Palgrave Dictionary of Economics, 2nd edition, Forthcoming
19 pages / 116 kb

A Shrinkage Approach to Model Uncertainty and Asset Allocation
Review of Financial Studies,2005, 18 (2), 673-705

Formulating the Imputed Cost of Equity for Priced Services at Federal Reserve Banks
With Edward Green and Jose A. Lopez,
Economic Policy Review,2003, 9 (3), 55-8

Diversification Benefits of Emerging Markets Subject to Portfolio Constraints
With Kai Li and Asani Sarkar
Journal of Empirical Finance,2003, 10 (1-2) 57-80

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
With Ravi Jagannathan
Journal of Finance,2002, 57 (5) 2337-2367

Generalized Method of Moments: Applications in Finance
With Ravi Jagannathan and Ravi Jagannathan
Journal of Business and Economic Statistics,2002, 20 (4) 470-481

"Discussion" (On `The Equity Premium and Structural Breaks' by Pastor and Stambaugh)
Journal of Finance,2001, 56 (4) 1240-1245

An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression
With Ravi Jagannathan
Journal of Finance,1998, 53 (4) 1285-1309

Efficiency Loss and Constraints on Portfolio Holdings
Journal of Financial Economics,1998, 48 (3), 359-375

A Note on the Asymptotic Covariance in Fama-MacBeth Regression
With Ravi Jagannathan
Journal of Finance,1998, 53 (2), 799-801

The Conditional CAPM and the Cross-Section of Expected Returns
With Ravi Jagannathan
Journal of Finance,1996, 51 (1), 3-53

Portfolio Characterization of Risk Aversion
With Jan Werner
Economics Letters,1994, 45 (2), 259-265

Zhenyu Wang's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.