| Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the heston model H Zhao, X Rong, Y Zhao Insurance: Mathematics and Economics 53 (3), 504-514, 2013 | 124 | 2013 |
| Capital growth with security LC MacLean, R Sanegre, Y Zhao, WT Ziemba Journal of Economic Dynamics and Control 28 (5), 937-954, 2004 | 106 | 2004 |
| How does the Fortune’s Formula-Kelly capital growth model perform? LC MacLean, EO Thorp, Y Zhao, WT Ziemba | 49 | 2011 |
| A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation Y Zhao, WT Ziemba Mathematical Programming 89, 293-309, 2001 | 39 | 2001 |
| A portfolio optimization model with regime-switching risk factors for sector exchange traded funds Y Ma, L MacLean, K Xu, Y Zhao Pac J Optim 7 (2), 281-296, 2011 | 36 | 2011 |
| Mean-variance versus expected utility in dynamic investment analysis LC MacLean, Y Zhao, WT Ziemba Computational Management Science 8, 3-22, 2011 | 35 | 2011 |
| Hedging errors with Leland's option model in the presence of transaction costs Y Zhao, WT Ziemba Finance Research Letters 4 (1), 49-58, 2007 | 35 | 2007 |
| Time-consistent investment policies in Markovian markets: a case of mean–variance analysis Z Chen, G Li, Y Zhao Journal of Economic Dynamics and Control 40, 293-316, 2014 | 33 | 2014 |
| Market regimes, sectorial investments, and time‐varying risk premiums PP Liu, K Xu, Y Zhao International Journal of Managerial Finance 7 (2), 107-133, 2011 | 30 | 2011 |
| A dynamic model of active portfolio management with benchmark orientation Y Zhao Journal of Banking & Finance 31 (11), 3336-3356, 2007 | 29 | 2007 |
| A dynamic asset allocation model with downside risk control Y Zhao, WT Ziemba Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät …, 2000 | 27 | 2000 |
| Medium term simulations of the full Kelly and fractional Kelly investment strategies LC MacLean, EO Thorp, Y Zhao, WT Ziemba The Kelly Capital Growth Investment Criterion: Theory and Practice, 543-561, 2011 | 26 | 2011 |
| Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control Y Zhao, WT Ziemba European Journal of Operational Research 185 (3), 1525-1540, 2008 | 22 | 2008 |
| Dynamic portfolio selection with process control L MacLean, Y Zhao, W Ziemba Journal of Banking & Finance 30 (2), 317-339, 2006 | 21 | 2006 |
| The bond-stock yield differential as a risk indicator in financial markets G Consigli, LC MacLean, Y Zhao, WT Ziemba Journal of Risk 11 (3), 3, 2009 | 20 | 2009 |
| Optimal liquidation strategies and their implications C Ting, M Warachka, Y Zhao Journal of Economic Dynamics and Control 31 (4), 1431-1450, 2007 | 18 | 2007 |
| An investment model via regime-switching economic indicators JM Mulvey, Y Zhao Risk Management,(November), 2010 | 15 | 2010 |
| A dynamic investment model with control on the portfolio's worst case outcome Y Zhao, U Haussmann, WT Ziemba Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003 | 15 | 2003 |
| On Leland's option hedging strategy with transaction costs Y Zhao, WT Ziemba Sauder School of Business Working Paper, 2004 | 14 | 2004 |
| Pricing vulnerable European options with dynamic correlation between market risk and credit risk H Niu, Y Xing, Y Zhao Journal of Management Science and Engineering 5 (2), 125-145, 2020 | 13 | 2020 |
