Browsing by Author "Zhao, Yonggan"

Now showing items 1-7 of 7

2000-01-20Buch

A Dynamic Asset Allocation Model with Downside Risk Control

Zhao, Yonggan; Ziemba, William T.

This paper presents a new stochastic model for investment. The investor's objective is to maximize the expected growth rate while controlling for downside risk. Assuming lognormally distributed prices, the strategy that ...
2002-01-29Buch

Capital growth with security

MacLean, Leonard C.; Sanegre, Rafael; Zhao, Yonggan; Ziemba, William T.

This paper discusses the allocation of capital over time with several risky assets. The capital growth log utility approach is used with conditions requiring that specific goals are achieved with high probability. The ...
1999-09-20Buch

Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming

Zhao, Yonggan; Ziemba, William T.

We discuss a new approach to asset allocation with transaction costs. A multi-period stochastic linear programming model is developed where the risk is based on the worst case payoff which is endogenously determined by the ...
2000-06-13Buch

Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions

Zhao, Yonggan; Ziemba, William T.

This paper develops an approximate method for solving multiperiod utility maximization investment models with downside risk control characterized by the minimum attainable wealth among all possible scenarios. The stochastic ...
2003-09-30Buch

Intertemporal mean-variance efficiency with a Markovian state price density

Zhao, Yonggan; Ziemba, William T.

This paper extends Merton's continuous time (instantaneous) mean-variance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...
2000-06-13Buch

Mean-variance versus expected utility in dynamic investment analysis

Ziemba, William T.; Zhao, Yonggan

This paper derives the mean-variance efficient frontier and optimal portfolio policies for a dynamic investment model. In the absence of arbitrage opportunities, the optimal expected portfolio value can be identified through ...
2003-09-30Buch

On Leland's option hedging strategy with transaction costs

Zhao, Yonggan; Ziemba, William T.

Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility ...