Yonggan Zhao
Yonggan Zhao
Professor of Finance
Verified email at dal.ca
Title
Cited by
Cited by
Year
Capital growth with security
LC MacLean, R Sanegre, Y Zhao, WT Ziemba
THE KELLY CAPITAL GROWTH INVESTMENT CRITERION: THEORY and PRACTICE, 355-372, 2011
892011
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
712013
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation
Y Zhao, WT Ziemba
Mathematical Programming 89 (2), 293-309, 2001
352001
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
342007
How Does the Fortune’s Formula Kelly CapitalGrowth Model Perform?
LC MacLean, EO Thorp, Y Zhao, WT Ziemba
The Journal of Portfolio Management 37 (4), 96-111, 2011
302011
Mean-variance versus expected utility in dynamic investment analysis
LC MacLean, Y Zhao, WT Ziemba
Computational Management Science 8 (1-2), 3-22, 2011
302011
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
282011
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
262014
A dynamic asset allocation model with downside risk control
Y Zhao, WT Ziemba
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät …, 2000
222000
Market regimes, sectorial investments, and time‐varying risk premiums
UR Mittoo, PP Liu, K Xu, Y Zhao
International Journal of Managerial Finance, 2011
212011
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
202008
A dynamic model of active portfolio management with benchmark orientation
Y Zhao
Journal of Banking & Finance 31 (11), 3336-3356, 2007
202007
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
182009
Dynamic portfolio selection with process control
L MacLean, Y Zhao, W Ziemba
Journal of Banking & Finance 30 (2), 317-339, 2006
182006
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
162011
An investment model via regime-switching economic indicators
JM Mulvey, YG Zhao
Risk Management,(November), 2010
162010
Optimal liquidation strategies and their implications
C Ting, M Warachka, Y Zhao
Journal of Economic Dynamics and Control 31 (4), 1431-1450, 2007
162007
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
132003
Comments on and corrigendum to" Hedging errors with Leland's option model in the presence of transaction costs"[Finance Research Letters 4 (2007) 49-58]
Y Zhao, WT Ziemba
Finance Research Letters 4 (3), 196-199, 2007
122007
Optimal capital growth with convex loss penalties
LC MacLean, Y Zhao, WT Ziemba
Working paper, Dalhousie University, 2009
112009
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Articles 1–20