Yonggan Zhao : Citation Profile


Are you Yonggan Zhao?

Dalhousie University

5

H index

2

i10 index

82

Citations

RESEARCH PRODUCTION:

14

Articles

RESEARCH ACTIVITY:

   11 years (2003 - 2014). See details.
   Cites by year: 7
   Journals where Yonggan Zhao has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 3 (3.53 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh532
   Updated: 2019-11-16    RAS profile: 2014-04-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yonggan Zhao.

Is cited by:

Kozhan, Roman (4)

Wong, Wing-Keung (3)

Leung, Tim (2)

Salmon, Mark (2)

Bottazzi, Giulio (1)

Topaloglou, Nikolas (1)

Lleo, Sebastien (1)

Schenk-Hoppé, Klaus (1)

Baptista, Alexandre (1)

Кабанов, Юрий (1)

Basak, Suleyman (1)

Cites to:

French, Kenneth (7)

Campbell, John (6)

Fama, Eugene (5)

He, Hua (4)

He, Hua (4)

Kreps, David (3)

Timmermann, Allan (3)

Bekaert, Geert (3)

Markowitz, Harry (3)

Rogers, Leonard (3)

Keim, Donald (2)

Main data


Where Yonggan Zhao has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Finance Research Letters2
Journal of Banking & Finance2

Recent works citing Yonggan Zhao (2018 and 2017)


YearTitle of citing document
2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yang, Zhiming ; Yao, Nian. In: Papers. RePEc:arx:papers:1704.08234.

Full description at Econpapers || Download paper

2019A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing. (2019). Keane, John ; Zeng, Xiao-Jun ; Yau, Jeffrey ; Dawson, Paula ; Fons, Elizabeth. In: Papers. RePEc:arx:papers:1902.10849.

Full description at Econpapers || Download paper

2019Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case. (2019). Sun, Li-Hsien ; Sheu, Shuenn-Jyi ; Hata, Hiroaki. In: Papers. RePEc:arx:papers:1903.08957.

Full description at Econpapers || Download paper

2019Optimal excess-of-loss reinsurance for stochastic factor risk models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1904.05422.

Full description at Econpapers || Download paper

2019Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information. (2019). Shi, Jingtao ; Zhu, Shihao. In: Papers. RePEc:arx:papers:1906.08410.

Full description at Econpapers || Download paper

2017Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework. (2017). Cui, Xiangyu ; Shi, Yun ; Li, Duan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:91-113.

Full description at Econpapers || Download paper

2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

Full description at Econpapers || Download paper

2018Non-zero-sum stochastic differential reinsurance and investment games with default risk. (2018). Zhu, Huiming ; Deng, Chao ; Zeng, Xudong. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1144-1158.

Full description at Econpapers || Download paper

2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

Full description at Econpapers || Download paper

2018Time consistent multi-period robust risk measures and portfolio selection models with regime-switching. (2018). Liu, Jia ; Chen, Zhiping. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:373-385.

Full description at Econpapers || Download paper

2017Optimal hedging with basis risk under mean–variance criterion. (2017). Zhang, Jingong ; Weng, Chengguo ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:1-15.

Full description at Econpapers || Download paper

2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (2017). Chen, Zheng ; Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:137-150.

Full description at Econpapers || Download paper

2018Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (2018). Wang, Pei ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:67-83.

Full description at Econpapers || Download paper

2018Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (2018). Bian, Lihua ; Yao, Haixiang ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:78-94.

Full description at Econpapers || Download paper

2018Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (2018). Guan, Guohui ; Feng, Jian ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:122-133.

Full description at Econpapers || Download paper

2019Robust non-zero-sum investment and reinsurance game with default risk. (2019). Wang, Ning ; Qian, Linyi ; Jin, Zhuo ; Zhang, Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:115-132.

Full description at Econpapers || Download paper

2019Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53.

Full description at Econpapers || Download paper

2017Global Hedging through Post-Decision State Variables. (2017). BRETON, Michel E ; Godin, Frederic. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:16-:d:107638.

Full description at Econpapers || Download paper

2019Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:48-:d:227464.

Full description at Econpapers || Download paper

2018Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth. (2018). Schenk-Hoppé, Klaus ; Zhitlukhin, M V ; Schenk-Hoppe, K R ; Evstigneev, I V ; Babaei, E. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1816.

Full description at Econpapers || Download paper

2019Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity. (2019). Chen, Yi-Ting ; Kruse, Timm ; Sun, Edward W. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-019-03150-0.

Full description at Econpapers || Download paper

2017Robust optimal investment and reinsurance problem for a general insurance company under Heston model. (2017). Huang, YA ; Zhou, Jieming ; Yang, Xiangqun . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-017-0570-8.

Full description at Econpapers || Download paper

2018Risk measurement and risk-averse control of partially observable discrete-time Markov systems. (2018). Fan, Jingnan ; Ruszczyski, Andrzej. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0633-5.

Full description at Econpapers || Download paper

2018GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS. (2018). Byrnes, Tim ; Barnett, Tristan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500334.

Full description at Econpapers || Download paper

Works by Yonggan Zhao:


YearTitleTypeCited
2003A Dynamic Investment Model with Control on the Portfolios Worst Case Outcome In: Mathematical Finance.
[Full Text][Citation analysis]
article5
2004Capital growth with security In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article18
2007Optimal liquidation strategies and their implications In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article4
2014Time-consistent investment policies in Markovian markets: A case of mean–variance analysis In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article6
2008Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control In: European Journal of Operational Research.
[Full Text][Citation analysis]
article8
2007Hedging errors with Lelands option model in the presence of transaction costs In: Finance Research Letters.
[Full Text][Citation analysis]
article4
2007Comments on and corrigendum to Hedging errors with Lelands option model in the presence of transaction costs [Finance Research Letters 4 (2007) 49-58] In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article15
2006Dynamic portfolio selection with process control In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2007A dynamic model of active portfolio management with benchmark orientation In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2011Market regimes, sectorial investments, and time-varying risk premiums In: International Journal of Managerial Finance.
[Full Text][Citation analysis]
article4
2013Currency returns, market regimes and behavioral biases In: Annals of Finance.
[Full Text][Citation analysis]
article0
2011Mean-variance versus expected utility in dynamic investment analysis In: Computational Management Science.
[Full Text][Citation analysis]
article9
2011An endogenous volatility approach to pricing and hedging call options with transaction costs In: Quantitative Finance.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team