Professor Raymond M. Kan Homepage

Research Interests

Empirical Asset Pricing
Portfolio Management
Computational Statistics

Recent Publications

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Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty (Appendix)

with Nathan Lassance, in Journal of Financial and Quantitative Analysis, forthcoming.

A Fast Algorithm for Computing Product Moments of Multivariate Normal Random Variables (Matlab Programs)

with Jiening Pan, in Communications in Statistics - Simulation and Computation, forthcoming.

Stock Return Autocorrelations and Expected Option Returns (Appendix)

with Yoontae Jeon and Gang Li, in Management Science, forthcoming.

Optimal Portfolio Choice with Unknown Benchmark Efficiency

with Xiaolu Wang, in Management Science, 70(9), 6117-6138, 2024.

In-sample and Out-of-sample Sharpe Ratios of Multi-factor Asset Pricing Models

with Xiaolu Wang and Xinghua Zheng, in Journal of Financial Economics, 155, 103837, 2024.

On the Expectations of Equivariant Matrix-valued Functions of Wishart and Inverse Wishart Matrices (Matlab Programs, R wishmom package)

with Grant Hillier, in Scandinavian Journal of Statistics, 51(2), 697-723, 2024.

The Distribution of Sample Mean-variance Portfolio Weights

with Nathan Lassance and Xiaolu Wang, in Random Matrices: Theory and Applications, 13(1), 2024.

Properties of the Inverse of a Noncentral Wishart Matrix (Matlab Programs)

with Grant Hillier, in Econometric Theory, 38(6), 1092-1116, 2022.

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case (Appendix)

with Xiaolu Wang and Guofu Zhou, in Management Science, 68(3), 2047-2068, 2022.

Moments of a Wishart Matrix (Matlab Programs)

with Grant Hillier, in Journal of Quantitative Economics, 19(S1), 141-162, 2021.

The Densities and Distributions of the Largest Eigenvalue and the Trace of a Beta-Wishart Matrix

with Vesselin Drensky, Alan Edelman, Tierney Genoar, and Plamen Koev, in Random Matrices: Theory and Applications, 10(1), 2021.

Model Comparison with Sharpe Ratios

with Francisco Barillas, Cesare Robotti, and Jay Shanken, in Journal of Financial and Quantitative Analysis, 55(6), 1840-1874, 2020.

On Computing Schur Functions and Series Thereof

with Cy Chan, Vesselin Drensky, Alan Edelman, and Plamen Koev, in Journal of Algebraic Combinatorics, 50(2), 127-141, 2019.

Densities of the Extreme Eigenvalues of Beta-MANOVA Matrices (Matlab Programs)

with Plamen Koev, in Random Matrices: Theory and Applications, 8(1), 2019.

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

with Nikolay Gospodinov and Cesare Robotti, in Journal of Financial Economics, 132(2), 451-471, 2019.

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

with Nikolay Gospodinov and Cesare Robotti, in Econometric Reviews, 33(7), 695-718, 2018.

Spurious Inference in Reduced-Rank Asset-Pricing Models

with Nikolay Gospodinov and Cesare Robotti, in Econometrica, 85(5), 1641-1656, 2017.

On Moments of Folded and Truncated Multivariate Normal Distributions (Errata, Matlab Programs)

with Cesare Robotti, in Journal of Computational and Graphical Statistics, 26(4), 930-934, 2017.

Modeling Non-normality Using Multivariate t: Implications for Asset Pricing (Matlab Programs)

with Guofu Zhou, in China Finance Review International, 7(1), 2-32, 2017.

On Distributions of Ratios (Supplementary Material, Matlab Programs)

with Simon Broda, in Biometrika, 103(1), 205-218, 2016.

On the Properties of the Constrained Hansen-Jagannathan Distance

with Nikolay Gospodinov and Cesare Robotti, in Journal of Empirical Finance, 36, 121-150, 2016.

The Exact Distribution of the Hansen-Jagannathan Bound (Matlab Programs)

with Cesare Robotti, in Management Science, 62(7), 1915-1943, 2016.

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors (Appendix)

with Nikolay Gospodinov and Cesare Robotti, in Review of Financial Studies, 27(7), 2139-2170, 2014.

Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors (Matlab Programs)

with Grant Hillier and Xiaolu Wang, in Econometric Theory, 30(2), 436-473, 2014.

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (Appendix, Matlab Programs)

with Cesare Robotti and Jay Shanken, in Journal of Finance, 68(6), 2617-2649, 2013.

On the Moments of Ratios of Quadratic Forms in Normal Random Variables (Matlab Programs)

with Yong Bao, in Journal of Multivariate Analysis, 117, 229-245, 2013.

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (Appendix, Matlab Programs)

with Nikolay Gospodinov and Cesare Robotti, in Journal of Econometrics, 173, 108-125, 2013.

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

with Nikolay Gospodinov and Cesare Robotti, in Journal of Business and Economic Statistics, 30(4), 494-504, 2012.

Tests of Mean-Variance Spanning (Matlab Programs)

with Guofu Zhou, in Annals of Economics and Finance, 13(1), 145-193, 2012.

On the Estimation of Asset Pricing Models Using Univariate Betas (Matlab Programs)

with Cesare Robotti, in Economics Letters, 110, 117-121, 2011.

On the Distribution of the Sample Autocorrelation Coefficients (Matlab Programs)

with Xiaolu Wang, in Journal of Econometrics, 154(2), 101-121, 2010.

Model Comparison Using the Hansen-Jagannathan Distance (Unpublished Appendix, Errata)

with Cesare Robotti, in Review of Financial Studies, 22(9), 3449-3490, 2009.

What Will the Likely Range of My Wealth Be? (Matlab Programs)

with Guofu Zhou, in Financial Analysts Journal, 65(4), 68-77, 2009.

Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications (Matlab Programs)

with Grant Hillier and Xiaolu Wang, in Econometric Theory, 25(1), 211-242, 2009.

Specification Tests of Asset Pricing Models Using Excess Returns (Errata)

with Cesare Robotti, in Journal of Empirical Finance, 15, 816-838, 2008.

The Distribution of the Sample Minimum-Variance Frontier

with Daniel Smith, in Management Science 54(7), 1364-1380, 2008.

From Moments of Sum to Moments of Product (Errata, Matlab Programs)

in Journal of Multivariate Analysis 99(3), 542-554, 2008.

Optimal Portfolio Choice with Parameter Uncertainty

with Guofu Zhou, in Journal of Financial and Quantitative Analysis 42(3), 621-656, 2007.

A New Variance Bound on the Stochastic Discount Factor

with Guofu Zhou, in Journal of Business 79(2), 941-961, 2006.

GMM Tests of Stochastic Discount Factor Models with Useless Factors

with Chu Zhang, in Journal of Financial Economics 54(1), 103-127, 1999.

A Critique of the Stochastic Discount Factor Methodology

with Guofu Zhou, in Journal of Finance 54, 1221-1248, 1999.

Two-pass Tests of Asset Pricing Models with Useless Factors

with Chu Zhang, in Journal of Finance 54, 203-235, 1999.

Tests of the Relations Among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

with Jia He, Lilian Ng, and Chu Zhang, in Journal of Finance 51, 1891-1908, 1996.

Biases in Evaluating Trading Strategies

with George Kirikos, Canadian Investment Review, 9-18, Summer 1996. (This is the original version of the paper, which is slightly different but better than the published version.)

Expected Return and the Bid-Ask Spread

with Nai-fu Chen, in Modern Portfolio Theory and Applications, (S. Saitou, K. Sawaki, and K. Kubota eds.), Gakujutsu Shuppan Center, Osaka, 1996.

Are the Discounts on Closed-end Funds a Sentiment Index?

with Nai-fu Chen and Merton Miller, in Journal of Finance 48, 795-800, 1993.

A Rejoinder

with Nai-fu Chen and Merton Miller, in Journal of Finance 48, 809-810, 1993.

Working Papers

Shape of the Yield Curve Under CIR Single Factor Model: A Note, 1992.

The Value-weighted Average Misspecification in Asset Pricing Models

with Chu Zhang, 1995.

On the Predicted Returns Explained by Asset Pricing Models