Dr. Clarence Kwan
Professor
Finance & Business Economics
CONTACT INFORMATION
JOURNAL PUBLICATIONS
July 2022
A Pedagogic Note On The Inverse Of The Sum Of Matrices: Miller’s Theorem And A Spreadsheet-based Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
September 2021
Remedies For Misapplications Of Sylvester’s Criterion: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2020
Addendum To A Case Study On Using Spreadsheets To Facilitate Committee Discussions And To Assist Committee Decisions In An Academic Setting: Graduate Admissions Of Applicants With Degrees From Chinese Universities
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2019
Solving The Black-scholes Partial Differential Equation Via The Solution Method For A One-dimensional Heat Equation: A Pedagogic Approach With A Spreadsheet-based Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
February 2018
What Really Happens If The Positive Definiteness Requirement On The Covariance Matrix Of Returns Is Relaxed In Efficient Portfolio Selection?
JOURNAL : FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT
CONTRIBUTORS: Clarence c y Kwan
2018
Using Spreadsheets To Facilitate Committee Discussions And To Assist Committee Decisions In An Academic Setting: A Case Study
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2017
Shrinkage Of The Sample Correlation Matrix Of Returns Towards A Constant Correlation Target: A Pedagogic Illustration Based On Dow Jones Stock Returns
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2016
The Arbitrage Pricing Model: A Pedagogic Derivation And A Spreadsheet-based Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2015
Interest Rate Conversion
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Y Feng, Clarence c y Kwan
2014
A Regression-based Interpretation Of The Inverse Of The Sample Covariance Matrix
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2013
Market Neutral Portfolio Selection: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2012
Geometric Brownian Motion, Option Pricing, And Simulation: Some Spreadsheet-based Exercises In Financial Modeling
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Kd Brewer, Y Feng, Clarence c y Kwan
2012
Connecting Binomial And Black-scholes Option Pricing Models: A Spreadsheet-based Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Y Feng, Clarence c y Kwan
2012
Bond Duration: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Y Feng, Clarence c y Kwan
2011
Time-value Concepts, Bond Valuation, And Corresponding Spreadsheet Functions
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Y Feng, Clarence c y Kwan
2011
An Introduction To Shrinkage Estimation Of The Covariance Matrix: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2010
The Requirement Of A Positive Definite Covariance Matrix Of Security Returns For Mean-variance Portfolio Analysis: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2010
Spreadsheet-based Sudoku As A Tool For Teaching Logical Deduction
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2010
Bond Portfolio Laddering: A Mean-variance Perspective
JOURNAL : JOURNAL OF APPLIED FINANCE: THEORY, PRACTICE, EDUCATION
CONTRIBUTORS: Cs Cheung, Clarence c y Kwan, S Sarkar
June 2009
On The Nature Of Mean-variance Spanning
JOURNAL : FINANCE RESEARCH LETTERS
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan,
2009
Estimation Error In The Correlation Of Two Random Variables: A Spreadsheet-based Exposition
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
December 2008
Estimation Error In The Average Correlation Of Security Returns And Shrinkage Estimation Of Covariance And Correlation Matrices
JOURNAL : FINANCE RESEARCH LETTERS
CONTRIBUTORS: Clarence c y Kwan
2008
A Mean-gini Approach To Asset Allocation Involving Hedge Funds
JOURNAL : RESEARCH IN FINANCE
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan, Peter Miu
2007
A Simple Spreadsheet-based Exposition Of The Markowitz Critical Line Method For Portfolio Selection
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Clarence c y Kwan
2007
Mean-gini Portfolio Analysis: A Pedagogic Illustration
JOURNAL : SPREADSHEETS IN EDUCATION
CONTRIBUTORS: Cs Cheung, Clarence c y Kwan, Peter Miu
November 2006
Some Further Analytical Properties Of The Constant Correlation Model For Portfolio Selection
JOURNAL : INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
CONTRIBUTORS: Clarence c y Kwan
2006
Some Further Analytical Properties Of The Constant Correlation Model For Portfolio Selection
JOURNAL : INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
CONTRIBUTORS: Clarence c y Kwan
February 2004
Long-short Portfolio Modeling: Critique And Extension
JOURNAL : INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
CONTRIBUTORS: Clarence c y Kwan
February 2004
Long-short Portfolio Modeling: Critique And Extension
JOURNAL : INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
CONTRIBUTORS: Clarence c y Kwan
January 2003
Improving The Efficient Frontier
JOURNAL : THE JOURNAL OF PORTFOLIO MANAGEMENT
CONTRIBUTORS: Clarence c y Kwan
2002
Portfolio Selection With Round-lot Holdings
JOURNAL : ADVANCES IN INVESTMENT AND ANALYSIS AND PORTFOLIO MANAGEMENT
CONTRIBUTORS: Clarence c y Kwan, M Parlar
2001
Portfolio Analysis Using Spreadsheet Tools
JOURNAL : JOURNAL OF APPLIED FINANCE: THEORY, PRACTICE, EDUCATION
CONTRIBUTORS: Clarence c y Kwan
November 1999
Investment Policy And Portfolio Management
JOURNAL : CFA DIGEST
CONTRIBUTORS: Clarence c y Kwan, Brian a Maris
May 1999
A Note On Market-neutral Portfolio Selection
JOURNAL : JOURNAL OF BANKING & FINANCE
CONTRIBUTORS: Clarence c y Kwan
March 1997
Portfolio Selection Under Institutional Procedures For Short Selling: Normative And Market-equilibrium Considerations
JOURNAL : JOURNAL OF BANKING & FINANCE
CONTRIBUTORS: Clarence c y Kwan
1997
The Noise Trader Hypothesis: The Case Of Closed-end Country Funds
JOURNAL : RESEARCH IN FINANCE
CONTRIBUTORS: Cs Cheung, Clarence c y Kwan, J Lee
1997
Foreign Risk-free Assets And Exchange Rate Risk In International Investment
JOURNAL : ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
December 1996
Neural Network Forecasting Of Quarterly Accounting Earnings
JOURNAL : INTERNATIONAL JOURNAL OF FORECASTING
CONTRIBUTORS: Jeffrey l Callen, Clarence c y Kwan, , Yufei Yuan
1996
Price Effects Of Stock Ownership Restrictions For Foreigners In Emerging Markets
JOURNAL : RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
CONTRIBUTORS: Cs Cheung, Clarence c y Kwan, Ha Thomas
December 1995
The Pricing Of Exchange Rate Risk And Stock Market Segmentation: The Canadian Case
JOURNAL : REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan, Jason Lee
August 1995
Optimal Portfolio Selection Under Institutional Procedures For Short Selling
JOURNAL : JOURNAL OF BANKING & FINANCE
CONTRIBUTORS: Clarence c y Kwan
June 1995
Tests Of The Value Line Ranking System: Some International Evidence
JOURNAL : JOURNAL OF BUSINESS FINANCE & ACCOUNTING
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
1994
Dollar Cost Averaging: New Evidence On An Old Rule
JOURNAL : ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
September 1993
The Present Value Issue In A Sequential Selection Problem
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Clarence c y Kwan, Yufei Yuan
September 1993
Options Listing, Market Liquidity And Stock Behaviour: Some Canadian Evidence
JOURNAL : JOURNAL OF BUSINESS FINANCE & ACCOUNTING
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
April 1993
An Empirical Investigation Of The Random Character Of Annual Earnings
JOURNAL : JOURNAL OF ACCOUNTING AUDITING & FINANCE
CONTRIBUTORS: Jeffrey l Callen, Chun-sang-sherman Cheung, Clarence c y Kwan,
February 1993
Optimal Portfolio Selection Without Short Sales Under The Full-information Covariance Structure: A Pedagogic Consideration
JOURNAL : JOURNAL OF ECONOMICS AND BUSINESS
CONTRIBUTORS: Clarence c y Kwan, Yufei Yuan
1993
The Impact Of Options Listing On Stock Behaviour And Market Liquidity: Some Canadian Evidence
JOURNAL : JOURNAL OF BUSINESS FINANCE AND ACCOUNTING
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
August 1992
A Note On The Transmission Of Public Informtion Across Inetrnational Stock Markets
JOURNAL : JOURNAL OF BANKING & FINANCE
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan
1992
Optimal Sequential Selection In Capital Budgeting: One More Time
JOURNAL : FINANCIAL MANAGEMENT
CONTRIBUTORS: Clarence c y Kwan, Yufei Yuan
1991
The Nature Of Short Selling
JOURNAL : ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
1991
Friday The Thirteenth, Myth Or Reality?
JOURNAL : QUARTERLY JOURNAL OF BUSINESS AND ECONOMICS
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
1991
Weak-form Efficiency In The Hong Kong Stock Markets
JOURNAL : ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING
CONTRIBUTORS: Jl Callen, Mwl Chan, Cs Cheung, Clarence c y Kwan, Pcy Yip
1991
Volume-price Change Relations And The Costly Short Sales Hypothesis: Some Empirical Tests
JOURNAL : CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES / REVUE CANADIENNE DES SCIENCES DE L'ADMINISTRATION
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
September 1990
Optimal Portfolio Selection Using The General Multi?index Model: A Stable Paretian Framework*
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
May 1990
International Investment And Currency Risk
JOURNAL : JOURNAL OF ECONOMICS AND BUSINESS
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
March 1990
Discussion Of “earnings Surprises And Prior Insider Trading: Tests Of Joint Informativeness”
JOURNAL : CONTEMPORARY ACCOUNTING RESEARCH
CONTRIBUTORS: Clarence c y Kwan
February 1990
The Hedging Effectiveness Of Options And Futures: A Mean?gini Approach
JOURNAL : JOURNAL OF FUTURES MARKETS
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan,
1990
Risk Versus Return In The Substitutability Of Debt And Equity Securities
JOURNAL : JOURNAL OF MONETARY ECONOMICS
CONTRIBUTORS: Varouj a Aivazian, Jeffrey l Callen, Itzhak Krinsky, Clarence c y Kwan
1990
Day-of-the-week Patterns In Futures Prices: Some Further Results
JOURNAL : QUARTERLY JOURNAL OF BUSINESS AND ECONOMICS
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
September 1989
Expiration-day Effects Of Index Futures And Options: Some Canadian Evidence
JOURNAL : FINANCIAL ANALYSTS JOURNAL
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
December 1988
A Sequential Selection Problem
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Clarence c y Kwan, Yufei Yuan
September 1988
Optimal Portfolio Selection And Cutoff Rates Of Security Performance: A Multi?index Case*
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Clarence c y Kwan
March 1988
A Note On Simple Criteria For Optimal Portfolio Selection
JOURNAL : THE JOURNAL OF FINANCE
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan
March 1988
Optimal Portfolio Selection Of Bonds And Stocks*
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan
1988
Optimal Sequential Selection In Capital Budgeting: A Shortcut
JOURNAL : FINANCIAL MANAGEMENT
CONTRIBUTORS: Clarence c y Kwan, Yufei Yuan
1988
Cash Versus Futures Prices And The Weekend Effect: The Canadian Evidence
JOURNAL : ADVANCES IN FUTURES AND OPTIONS RESEARCH
CONTRIBUTORS: Tw Chamberlain, Cs Cheung, Clarence c y Kwan
1988
Day Of The Week Patterns In Stock Returns: The Canadian Evidence
JOURNAL : CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES / REVUE CANADIENNE DES SCIENCES DE L'ADMINISTRATION
CONTRIBUTORS: Trevor william Chamberlain, Chun-sang-sherman Cheung, Clarence c y Kwan
October 1987
Optimal Portfolio Selection With Upper Bounds For Individual Securities*
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Clarence c y Kwan,
1987
Optimal Mix Of Investment And Insurance Activities Of Property-liability Insurance Companies
JOURNAL : CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES / REVUE CANADIENNE DES SCIENCES DE L'ADMINISTRATION
CONTRIBUTORS: Chun-sang-sherman Cheung, Itzhak Krinsky, Clarence c y Kwan
December 1986
International Exchange Risk And Asset Substitutability
JOURNAL : JOURNAL OF INTERNATIONAL MONEY AND FINANCE
CONTRIBUTORS: Varouj a Aivazian, Jeffrey l Callen, Itzhak Krinsky, Clarence c y Kwan
1986
An Empirical Portfolio Analysis Of Financial Asset Substitutability: The Case Of The U.s. Household Sector
JOURNAL : QUARTERLY REVIEW OF ECONOMICS AND BUSINESS
CONTRIBUTORS: Va Aivazian, Jl Callen, I Krinsky, Clarence c y Kwan
October 1985
A Note On Optimal Portfolio Selection Under Stable Paretian Distributions*
JOURNAL : DECISION SCIENCES
CONTRIBUTORS: Chun-sang-sherman Cheung, Clarence c y Kwan,
April 1985
Foreign-exchange Rate Dynamics: An Empirical Study Using Maximum Entropy Spectral Analysis
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: Jeffrey l Callen, Clarence c y Kwan,
April 1985
Foreign-exchange Rate Dynamics: An Empirical Study Using Maximum Entropy Spectral Analysis
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: Jeffrey l Callen, Clarence c y Kwan,
1985
Autoregressive Modelling Of Accounting Earnings And Security Prices
JOURNAL : TIME SERIES ANALYSIS: THEORY AND PRACTICE
CONTRIBUTORS: Jl Callen, Mwl Chan, Clarence c y Kwan
December 1984
Portfolio Analysis Using Single Index, Multi-index, And Constant Correlation Models: A Unified Treatment
JOURNAL : THE JOURNAL OF FINANCE
CONTRIBUTORS: Clarence c y Kwan
December 1983
Mean-variance Utility Functions And The Demand For Risky Assets: An Empirical Analysis Using Flexible Functional Forms
JOURNAL : JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
CONTRIBUTORS: Varouj a Aivazian, Jeffrey l Callen, Itzhak Krinsky, Clarence c y Kwan
July 1983
The Demand For Risky Financial Assets By The U.s. Household Sector
CONTRIBUTORS: Varouj a Aivazian, Lawrence jeffrey Callen, Itzhak Krinsky, Clarence c y Kwan, University faculty of business Mcmaster
July 1982
Efficiency Of Foreign Exchange Markets: An Empirical Study Using Maximum Entropy Spectral Analysis
CONTRIBUTORS: Lawrence jeffrey Callen, Clarence c y Kwan, P Yip, University faculty of business Mcmaster
June 1981
Efficient Market Tests Of The Informational Content Of Dividend Announcements: Critique And Extension
JOURNAL : JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
CONTRIBUTORS: Clarence c y Kwan
December 1979
Debt Maturity, Default Risk, And Capital Structure
JOURNAL : JOURNAL OF BANKING & FINANCE
CONTRIBUTORS: Myron j Gordon, Clarence c y Kwan
February 1976
Pollution Monitoring Systems Based On Resonance Absorption Measurements Of Ozone With A "tunable" Co(2) Laser: Some Criteria.
JOURNAL : APPLIED OPTICS
CONTRIBUTORS: J Shewchun, Bk Garside, , Clarence c y Kwan, Mm Elsherbiny, G Hogenkamp, A Kazandjian
June 1972
Conduction Band Parameters In Gasb From High-temperature Transport Measurements
JOURNAL : CANADIAN JOURNAL OF PHYSICS
CONTRIBUTORS: Joseph Basinski, Clarence c y Kwan, John c Woolley
February 1972
Thermal Conductivity Of Two-phase And Three-phase Heterogeneous Solid Mixtures
JOURNAL : INTERNATIONAL JOURNAL OF HEAT AND MASS TRANSFER
CONTRIBUTORS: Sc Cheng, Ys Law, Clarence c y Kwan
1972
Transport And Structural Properties Of Vo2 Films
JOURNAL : APPLIED PHYSICS LETTERS
CONTRIBUTORS: Clarence c y Kwan, Ch Griffiths, Hk Eastwood
1972
Optical Properties Of Semiconducting Vo2 Films
JOURNAL : PHYSICAL REVIEW B - CONDENSED MATTER AND MATERIALS PHYSICS
CONTRIBUTORS: A Gavini, Clarence c y Kwan
December 1971
Analysis Of The Two-band Hall Effect And Magnetoresistance
JOURNAL : PHYSICA STATUS SOLIDI (B)
CONTRIBUTORS: Clarence c y Kwan, J Basinski, Jc Woolley
June 1971
Electroreflectance And Thermoreflectance Of Znsias2
JOURNAL : APPLIED PHYSICS LETTERS
CONTRIBUTORS: Clarence c y Kwan, John c Woolley
April 1971
Electroreflectance And Thermoreflectance Of Znsnas2
JOURNAL : PHYSICA STATUS SOLIDI (B)
CONTRIBUTORS: Clarence c y Kwan, Jc Woolley
September 1970
Electroreflectance Spectra Of Some Iiivas2 Compounds
JOURNAL : CANADIAN JOURNAL OF PHYSICS
CONTRIBUTORS: Clarence c y Kwan, John c Woolley
December 1968
Electroreflectance Of Inas
JOURNAL : CANADIAN JOURNAL OF PHYSICS
CONTRIBUTORS: Clarence c y Kwan, Alan g Thompson, John c Woolley
August 1968