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Ziemba, William T.
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Generalized concavity in optimization and economics : [papers pres. at the proceedings of the NATO Advanced Study Institute held at the University of British Columbia, Vancouver, Canada, Aug. 4-15, 1980]
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1
Estimating parameters in a pricing model with state-dependent shocks
MacLean, Leonard C.
;
Zhao, Yonggan
;
Consigli, Giorgio
; …
- In:
Handbook of financial engineering
,
(pp. 231-244)
.
2008
Persistent link: https://www.econbiz.de/10003753679
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2
Hedging errors with Leland's option model in the presence of transaction costs
Zhao, Yonggan
;
Ziemba, William T.
- In:
Finance research letters
4
(
2007
)
1
,
pp. 49-58
Persistent link: https://www.econbiz.de/10003442070
Saved in:
3
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
Saved in:
4
Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs"
Zhao, Yonggan
;
Ziemba, William T.
- In:
Finance research letters
4
(
2007
)
3
,
pp. 196-199
Persistent link: https://www.econbiz.de/10003702449
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5
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
Saved in:
6
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
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7
The bond-stock yield differential as a risk indicator in financial markets
Consigli, Giorgio
;
MacLean, Leonard C.
;
Zhao, Yonggan
; …
- In:
Journal of risk
11
(
2008/09
)
3
,
pp. 3-24
Persistent link: https://www.econbiz.de/10003844341
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8
Dynamic portfolio selection with process control
MacLean, Leonard C.
;
Zhao, Yonggan
;
Ziemba, William T.
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 317-339
Persistent link: https://www.econbiz.de/10003291264
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9
Incorporating diversification into risk management
Purnanandam, Amiyatosh
;
Warachka, Mitch
;
Zhao, Yonggan
; …
- In:
Advances in risk management
,
(pp. 22-46)
.
2007
Persistent link: https://www.econbiz.de/10003401571
Saved in:
10
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
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