Details about Yonggan Zhao

Access statistics for papers by Yonggan Zhao.

Last updated 2014-04-24. Update your information in the RePEc Author Service.

Short-id: pzh532

Journal Articles

2014

1. Time-consistent investment policies in Markovian markets: A case of mean–variance analysis
   Journal of Economic Dynamics and Control, 2014, 40, (C), 293-316 View citations (9)

2013

2. Currency returns, market regimes and behavioral biases
   Annals of Finance, 2013, 9, (2), 249-269
3. Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model
   Insurance: Mathematics and Economics, 2013, 53, (3), 504-514 View citations (26)

2011

4. An endogenous volatility approach to pricing and hedging call options with transaction costs
   Quantitative Finance, 2011, 13, (5), 699-712
5. Market regimes, sectorial investments, and time‐varying risk premiums
   International Journal of Managerial Finance, 2011, 7, (2), 107-133 View citations (8)
6. Mean-variance versus expected utility in dynamic investment analysis
   Computational Management Science, 2011, 8, (1), 3-22 View citations (10)

2008

7. Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
   European Journal of Operational Research, 2008, 185, (3), 1525-1540 View citations (9)

2007

8. A dynamic model of active portfolio management with benchmark orientation
   Journal of Banking & Finance, 2007, 31, (11), 3336-3356 View citations (11)
9. 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]
   Finance Research Letters, 2007, 4, (3), 196-199 View citations (1)
10. Hedging errors with Leland's option model in the presence of transaction costs
    Finance Research Letters, 2007, 4, (1), 49-58 View citations (6)
11. Optimal liquidation strategies and their implications
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1431-1450 View citations (6)

2006

12. Dynamic portfolio selection with process control
    Journal of Banking & Finance, 2006, 30, (2), 317-339 View citations (7)

2004

13. Capital growth with security
    Journal of Economic Dynamics and Control, 2004, 28, (5), 937-954 View citations (27)

2003

14. A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
    Mathematical Finance, 2003, 13, (4), 481-501 View citations (4)