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Details about Yonggan Zhao

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Workplace:Department of Economics, Dalhousie University, (more information at EDIRC)

Access statistics for papers by Yonggan Zhao.

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

Short-id: pzh532


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Working Papers

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 Downloads View citations (6)

2013

  1. Currency returns, market regimes and behavioral biases
    Annals of Finance, 2013, 9, (2), 249-269 Downloads
  2. 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 Downloads View citations (17)

2011

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

2008

  1. 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 Downloads View citations (9)

2007

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

2006

  1. Dynamic portfolio selection with process control
    Journal of Banking & Finance, 2006, 30, (2), 317-339 Downloads View citations (5)

2004

  1. Capital growth with security
    Journal of Economic Dynamics and Control, 2004, 28, (5), 937-954 Downloads View citations (19)

2003

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