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Yonggan Zhao

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First Name:Yonggan
Middle Name:
Last Name:Zhao
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RePEc Short-ID:pzh532
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Location: Halifax, Canada
Homepage: http://www.economics.dal.ca/
Email:
Phone: (902) 494-2026
Fax: (902) 494-6917
Postal: Halifax, Nova Scotia, B3H 3J5
Handle: RePEc:edi:dedalca (more details at EDIRC)
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  1. Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
  2. Leonard MacLean & Yonggan Zhao & William Ziemba, 2013. "Currency returns, market regimes and behavioral biases," Annals of Finance, Springer, vol. 9(2), pages 249-269, May.
  3. Zhao, Hui & Rong, Ximin & Zhao, Yonggan, 2013. "Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 504-514.
  4. Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2011. "Market regimes, sectorial investments, and time-varying risk premiums," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 107-133, April.
  5. Leonard MacLean & Yonggan Zhao & William Ziemba, 2011. "Mean-variance versus expected utility in dynamic investment analysis," Computational Management Science, Springer, vol. 8(1), pages 3-22, April.
  6. Leonard C. MacLean & Yonggan Zhao & William T. Ziemba, 2011. "An endogenous volatility approach to pricing and hedging call options with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 699-712, November.
  7. Zhao, Yonggan & Ziemba, William T., 2008. "Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1525-1540, March.
  8. Ting, Christopher & Warachka, Mitch & Zhao, Yonggan, 2007. "Optimal liquidation strategies and their implications," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1431-1450, April.
  9. Zhao, Yonggan & Ziemba, William T., 2007. "Hedging errors with Leland's option model in the presence of transaction costs," Finance Research Letters, Elsevier, vol. 4(1), pages 49-58, March.
  10. Zhao, Yonggan & Ziemba, William T., 2007. "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, Elsevier, vol. 4(3), pages 196-199, September.
  11. Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
  12. MacLean, Leonard & Zhao, Yonggan & Ziemba, William, 2006. "Dynamic portfolio selection with process control," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 317-339, February.
  13. MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
  14. Yonggan Zhao & Ulrich Haussmann & William T. Ziemba, 2003. "A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome," Mathematical Finance, Wiley Blackwell, vol. 13(4), pages 481-501.

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