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Time-consistent investment policies in Markovian markets : a case of mean-variance analysis

Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316

Persistent link: https://www.econbiz.de/10010424358

A dynamic investment model with control on the portfolio's worst case outcome

Zhao, Yonggan; Haussmann, Ulrich G.; Ziemba, William T. - In: Mathematical finance : an international journal of … 13 (2003) 4, pp. 481-501

Persistent link: https://www.econbiz.de/10001803214

Optimal liquidation strategies and their implications

Ting, Christopher; Warachka, Mitch; Zhao, Yonggan - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1431-1450

Persistent link: https://www.econbiz.de/10003443549

Mean-variance versus expected utility in dynamic investment analysis

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 3-22

Persistent link: https://www.econbiz.de/10008992080

Currency returns, market regimes and behavioral biases

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Annals of finance 9 (2013) 2, pp. 249-269

Persistent link: https://www.econbiz.de/10009741195

Growth-security models and stochastic dominance

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Stochastic programming : the state of the art ; in …, (pp. 277-296). 2011

Persistent link: https://www.econbiz.de/10008798650

How does the fortune’s formula kelly capital growth model perform?

MacLean, Leonard C.; Thorp, Edward O.; Zhao, Yonggan; … - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 96-111

Persistent link: https://www.econbiz.de/10009273878

Kelly investing with downside risk control in a regime-switching market

MacLean, Leonard C.; Zhao, Yonggan - In: Quantitative finance 22 (2022) 1, pp. 75-94

Persistent link: https://www.econbiz.de/10012872522

Smart indexing under regime-switching economic states

Edirisinghe, Chanaka; Zhao, Yonggan - In: Applied mathematical finance 27 (2020) 5, pp. 422-456

Persistent link: https://www.econbiz.de/10012501624

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10013375264