| Year |
Citation |
Score |
| 2016 |
Yuan J, MacLean L, Xu K, Zhao Y. Regime Dependent Sensitivity of Country Exchange Traded Funds to Common Risk Factors Frontiers of Business Research in China. 10: 385-431. DOI: 10.3868/S070-005-016-0014-0 |
0.338 |
|
| 2014 |
Chen Z, Li G, Zhao Y. Time-consistent investment policies in Markovian markets: A case of mean–variance analysis Journal of Economic Dynamics and Control. 40: 293-316. DOI: 10.1016/J.Jedc.2014.01.011 |
0.41 |
|
| 2013 |
MacLean LC, Zhao Y, Ziemba WT. An endogenous volatility approach to pricing and hedging call options with transaction costs Quantitative Finance. 13: 699-712. DOI: 10.1080/14697688.2011.639794 |
0.635 |
|
| 2013 |
Zhao H, Rong X, Zhao Y. Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model Insurance Mathematics & Economics. 53: 504-514. DOI: 10.1016/J.Insmatheco.2013.08.004 |
0.437 |
|
| 2013 |
MacLean LC, Zhao Y, Ziemba WT. Currency returns, market regimes and behavioral biases Annals of Finance. 9: 249-269. DOI: 10.1007/S10436-012-0220-3 |
0.636 |
|
| 2011 |
MacLean LC, Thorp EO, Zhao Y, Ziemba WT. How Does the Fortune’s Formula Kelly CapitalGrowth Model Perform? The Journal of Portfolio Management. 37: 96-111. DOI: 10.3905/Jpm.2011.37.4.096 |
0.593 |
|
| 2011 |
Liu P(, Xu K, Zhao Y. Market regimes, sectorial investments, and time-varying risk premiums International Journal of Managerial Finance. 7: 107-133. DOI: 10.1108/17439131111122120 |
0.432 |
|
| 2011 |
MacLean LC, Zhao Y, Ziemba WT. Mean-variance versus expected utility in dynamic investment analysis Computational Management Science. 8: 3-22. DOI: 10.1007/S10287-009-0106-7 |
0.638 |
|
| 2009 |
Consigli G, Maclean LC, Zhao Y, Ziemba WT. The bond--stock yield differential as a risk indicator in financial markets Journal of Risk. 11: 3-24. DOI: 10.21314/Jor.2009.192 |
0.647 |
|
| 2008 |
Zhao Y, Ziemba WT. Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control European Journal of Operational Research. 185: 1525-1540. DOI: 10.1016/J.Ejor.2006.09.002 |
0.649 |
|
| 2007 |
Ting C, Warachka M, Zhao Y. Optimal liquidation strategies and their implications Journal of Economic Dynamics and Control. 31: 1431-1450. DOI: 10.1016/J.Jedc.2006.07.003 |
0.338 |
|
| 2007 |
Zhao Y. A dynamic model of active portfolio management with benchmark orientation Journal of Banking and Finance. 31: 3336-3356. DOI: 10.1016/J.Jbankfin.2007.04.007 |
0.469 |
|
| 2007 |
Zhao Y, Ziemba WT. 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. 4: 196-199. DOI: 10.1016/J.Frl.2007.04.003 |
0.568 |
|
| 2007 |
Zhao Y, Ziemba WT. Hedging errors with Leland's option model in the presence of transaction costs Finance Research Letters. 4: 49-58. DOI: 10.1016/J.Frl.2006.09.002 |
0.623 |
|
| 2006 |
MacLean L, Zhao Y, Ziemba W. Dynamic portfolio selection with process control Journal of Banking and Finance. 30: 317-339. DOI: 10.1016/J.Jbankfin.2005.04.002 |
0.65 |
|
| 2004 |
MacLean LC, Sanegre R, Zhao Y, Ziemba WT. Capital growth with security Journal of Economic Dynamics and Control. 28: 937-954. DOI: 10.1016/S0165-1889(03)00056-3 |
0.609 |
|
| 2003 |
Zhao Y, Haussmann U, Ziemba WT. A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome Mathematical Finance. 13: 481-501. DOI: 10.1111/1467-9965.T01-1-00177 |
0.645 |
|
| 2001 |
Zhao Y, Ziemba WT. A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation Mathematical Programming. 89: 293-309. DOI: 10.1007/Pl00011400 |
0.656 |
|
| 2000 |
Zhao Y, Ziemba WT. A Dynamic Asset Allocation Model with Downside Risk Control Journal of Risk. 3: 91-113. DOI: 10.21314/Jor.2000.036 |
0.624 |
|
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