Yonggan Zhao

MaRDI QIDQ206448zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Kelly investing with downside risk control in a regime-switching market Quantitative Finance	2022-04-05	Paper
Optimal capital growth with convex shortfall penalties Quantitative Finance	2021-07-16	Paper
Smart Indexing Under Regime-Switching Economic States Applied Mathematical Finance	2021-06-21	Paper
Dynamic evolution of open spin chain in Markovian environment International Journal of Theoretical Physics	2020-02-28	Paper
Time-consistent investment policies in Markovian markets: a case of mean-variance analysis Journal of Economic Dynamics and Control	2018-11-01	Paper
Currency returns, market regimes and behavioral biases Annals of Finance	2014-11-12	Paper
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model Insurance Mathematics & Economics	2014-06-23	Paper
An endogenous volatility approach to pricing and hedging call options with transaction costs Quantitative Finance	2014-02-20	Paper
scientific article; zbMATH DE number 5961783 (Why is no real title available?)	2011-10-21	Paper
Mean-variance versus expected utility in dynamic investment analysis Computational Management Science	2011-06-22	Paper
Growth-security models and stochastic dominance International Series in Operations Research & Management Science	2011-05-31	Paper
Optimal liquidation strategies and their implications Journal of Economic Dynamics and Control	2009-05-18	Paper
Capital growth with security Journal of Economic Dynamics and Control	2008-10-24	Paper
Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control European Journal of Operational Research	2007-12-10	Paper
Wealth goals investing	2006-02-20	Paper
A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome Mathematical Finance	2004-10-28	Paper
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation Mathematical Programming. Series A. Series B	2001-10-10	Paper
scientific article; zbMATH DE number 279523 (Why is no real title available?)	1993-08-23	Paper

Research outcomes over time

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