Raymond Kan

Research

Interests: empirical asset pricing, portfolio management, computational statistics.

Publications

Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty
with Nathan Lassance, in Journal of Financial and Quantitative Analysis, 60(8), 3753-3790, 2025.
Appendix
A Fast Algorithm for Computing Product Moments of Multivariate Normal Random Variables
with Jiening Pan, in Communications in Statistics - Simulation and Computation, 54(9), 3593-3607, 2025.
Matlab Programs
Stock Return Autocorrelations and Expected Option Returns
with Yoontae Jeon and Gang Li, in Management Science, 71(6), 4895-4914, 2025.
Appendix
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
with Grant Hillier, in Scandinavian Journal of Statistics, 51(2), 697-723, 2024.
Errata Matlab Programs R wishmom package Visual Demo
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
with Grant Hillier, in Econometric Theory, 38(6), 1092-1116, 2022.
Matlab Programs
Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case
with Xiaolu Wang and Guofu Zhou, in Management Science, 68(3), 2047-2068, 2022.
Appendix
Moments of a Wishart Matrix
with Grant Hillier, in Journal of Quantitative Economics, 19(S1), 141-162, 2021.
Matlab Programs
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
with Plamen Koev, in Random Matrices: Theory and Applications, 8(1), 2019.
Matlab Programs
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
with Cesare Robotti, in Journal of Computational and Graphical Statistics, 26(4), 930-934, 2017.
Errata Matlab Programs
Modeling Non-normality Using Multivariate t: Implications for Asset Pricing
with Guofu Zhou, in China Finance Review International, 7(1), 2-32, 2017.
Matlab Programs
On Distributions of Ratios
with Simon Broda, in Biometrika, 103(1), 205-218, 2016.
Supplementary Material Matlab Programs
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
with Cesare Robotti, in Management Science, 62(7), 1915-1943, 2016.
Matlab Programs
Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors
with Nikolay Gospodinov and Cesare Robotti, in Review of Financial Studies, 27(7), 2139-2170, 2014.
Appendix
Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors
with Grant Hillier and Xiaolu Wang, in Econometric Theory, 30(2), 436-473, 2014.
Matlab Programs
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
with Cesare Robotti and Jay Shanken, in Journal of Finance, 68(6), 2617-2649, 2013.
Appendix Matlab Programs
On the Moments of Ratios of Quadratic Forms in Normal Random Variables
with Yong Bao, in Journal of Multivariate Analysis, 117, 229-245, 2013.
Errata Matlab Programs
Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models
with Nikolay Gospodinov and Cesare Robotti, in Journal of Econometrics, 173, 108-125, 2013.
Appendix Matlab Programs
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
with Guofu Zhou, in Annals of Economics and Finance, 13(1), 145-193, 2012.
Matlab Programs
On the Estimation of Asset Pricing Models Using Univariate Betas
with Cesare Robotti, in Economics Letters, 110, 117-121, 2011.
Matlab Programs
On the Distribution of the Sample Autocorrelation Coefficients
with Xiaolu Wang, in Journal of Econometrics, 154(2), 101-121, 2010.
Matlab Programs
Model Comparison Using the Hansen-Jagannathan Distance
with Cesare Robotti, in Review of Financial Studies, 22(9), 3449-3490, 2009.
Unpublished Appendix Errata
What Will the Likely Range of My Wealth Be?
with Guofu Zhou, in Financial Analysts Journal, 65(4), 68-77, 2009.
Matlab Programs
Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications
with Grant Hillier and Xiaolu Wang, in Econometric Theory, 25(1), 211-242, 2009.
Matlab Programs
Specification Tests of Asset Pricing Models Using Excess Returns
with Cesare Robotti, in Journal of Empirical Finance, 15, 816-838, 2008.
Errata
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
in Journal of Multivariate Analysis 99(3), 542-554, 2008.
Errata Matlab Programs
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
with Chu Zhang, 1995.
A Critique of the Use of t-ratios in Model Selection
with Nai-fu Chen and Chu Zhang, 1997.
On the Explanatory Power of Asset Pricing Models Across and Within Portfolios
1999.
Empirical Asset Pricing: the Beta Method versus the Stochastic Discount Factor Method
with Guofu Zhou, 2001.
Hansen-Jagannathan Distance: Geometry and Exact Distribution
with Guofu Zhou, 2003.
Finite Sample Analysis of Two-Pass Cross-Sectional Regressions
with Robert Chen, 2004.
Exact Variance Ratio Test with Overlapping Data
2011.
Matlab Programs
An Explicit Expression for the Expectation of a Product of Quadratic Forms in Multivariate Normal Random Variables
with Jiening Pan, 2025.
Matlab Programs Visual Demo