Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Z. George Yang"'
Autor:
Z. George Yang
Publikováno v:
SSRN Electronic Journal.
Beyond the single period Modern Portfolio Theory (Markowitz, 1955), the seminal work by Robert C. Merton (1969) solved elegantly a multi-period (finite time horizon) continuous portfolio optimization problem under the random walk market assumption. D
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::66a6dc0c6d1d4cb1ee74a2c671954c9e
https://doi.org/10.2139/ssrn.3168599
https://doi.org/10.2139/ssrn.3168599
Publikováno v:
Applied Mathematical Modelling. 32:123-140
We present a method for the solution of transient flow in a multi-port fluid device with arbitrary geometry. The method is applicable to fluid devices where the fluid motion is primarily inviscid throughout the volume, but locally near a device port
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8bbee1bb192e6e36ec6d04122e3d876
https://doi.org/10.1016/j.apm.2006.11.002
https://doi.org/10.1016/j.apm.2006.11.002
Autor:
Z. George Yang, Jerry C Wagner
Publikováno v:
SSRN Electronic Journal.
Under the historical market view of binary bull and bear cycles, what is an ex ante optimal trading strategy? Similar to an original optimal stopping time model (Dai, et al 2010, 2011) to maximize long term investment returns, we introduce a market t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::78adb8e5dda5bb467eb53e39da415b3b
https://doi.org/10.2139/ssrn.2453507
https://doi.org/10.2139/ssrn.2453507
Autor:
Z. George Yang
Publikováno v:
SSRN Electronic Journal.
Volatility-based filtering is proposed to pre-process historical daily return data of stock indexes before applying to price-based technical analysis trading rules. Any “nearly flat” days which have daily gains or losses less than a threshold abo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::241b9523ac26a31d0d543444a5751638
https://doi.org/10.2139/ssrn.2260609
https://doi.org/10.2139/ssrn.2260609
Autor:
Liang Zhong, Z. George Yang
Publikováno v:
SSRN Electronic Journal.
Draw-down losses from a previously reached maximum portfolio wealth level, is an important risk measure for investment management. In this study, we present a discrete trading strategy to directly control a portfolio’s maximum percentage of drawdow
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e32a3b1bb3b509e5f13150d9c7edb45d
https://doi.org/10.2139/ssrn.2053854
https://doi.org/10.2139/ssrn.2053854
Autor:
Z. George Yang
Publikováno v:
SSRN Electronic Journal.
Can simple technical analysis add value to index option selling investment strategies? To test this, I propose a dynamic allocation approach to construct option writing portfolios. Unlike the standard passive Buy-Write (covered call) and Collateraliz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c71805aabb235ee01012e20c8a2d7409
https://doi.org/10.2139/ssrn.1827363
https://doi.org/10.2139/ssrn.1827363
Publikováno v:
SAE Technical Paper Series.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::adb7e45b0fa671fa3e4b2bbeeb8b3888
https://doi.org/10.4271/2007-01-0111
https://doi.org/10.4271/2007-01-0111