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Ziyu Zheng

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First Name:Ziyu
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Last Name:Zheng
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RePEc Short-ID:pzh257
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Research output

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Jump to: Working papers Articles

Working papers

  1. Yadong Li & Ziyu Zheng, 2010. "A Top-down Model for Cash CLO," Papers 1004.2865, arXiv.org.

Articles

  1. Stein, J.L. & Zheng, Ziyu, 2007. "Inter-temporal optimization in a stochastic environment: Introduction," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1287-1293, May.
  2. Ziyu Zheng, 2005. "From Rationality To Bounded Rationality," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 455-474, December.
  3. Talay, Denis & Zheng, Ziyu, 2004. "Approximation of quantiles of components of diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 23-46, January.
  4. Denis Talay & Ziyu Zheng, 2003. "Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 187-199, January.
  5. Denis Talay & Ziyu Zheng, 2002. "Worst case model risk management," Finance and Stochastics, Springer, vol. 6(4), pages 517-537.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Stein, J.L. & Zheng, Ziyu, 2007. "Inter-temporal optimization in a stochastic environment: Introduction," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1287-1293, May.

    Cited by:

    1. Cheng, Mei-luan & Gloy, Brent A., 2008. "The Paradox of Risk Balancing: Do Risk-reducing Policies Lead to More Risk for Farmers?," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6546, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

  2. Talay, Denis & Zheng, Ziyu, 2004. "Approximation of quantiles of components of diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 23-46, January.

    Cited by:

    1. Denis Talay & Ziyu Zheng, 2003. "Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 187-199, January.
    2. Frikha, N. & Huang, L., 2015. "A multi-step Richardson–Romberg extrapolation method for stochastic approximation," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4066-4101.

  3. Denis Talay & Ziyu Zheng, 2003. "Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 187-199, January.

    Cited by:

    1. Laurent Denis & Begoña Fernández & Ana Meda, 2009. "Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 281-302, April.
    2. Talay, Denis & Zheng, Ziyu, 2004. "Approximation of quantiles of components of diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 23-46, January.
    3. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.

  4. Denis Talay & Ziyu Zheng, 2002. "Worst case model risk management," Finance and Stochastics, Springer, vol. 6(4), pages 517-537.

    Cited by:

    1. Christophe M. Boucher & Bertrand B. Maillet, 2013. "Learning by Failing: A Simple VaR Buffer," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 22(2), pages 113-127, May.
    2. Wentao Hu, 2019. "calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty," Papers 1908.00982, arXiv.org.
    3. Schied, Alexander, 2005. "Optimal investments for risk- and ambiguity-averse preferences: A duality approach," SFB 649 Discussion Papers 2005-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Schied, Alexander, 2007. "Robust optimal control for a consumption-investment problem," SFB 649 Discussion Papers 2007-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Bruno Bouchard & Marcel Nutz, 2015. "Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions," Post-Print hal-00846830, HAL.
    6. Cosma, Simona & Rimo, Giuseppe & Torluccio, Giuseppe, 2023. "Knowledge mapping of model risk in banking," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Carol Alexander & José María Sarabia, 2012. "Quantile Uncertainty and Value‐at‐Risk Model Risk," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1293-1308, August.
    8. Nikolay Andreev, 2019. "Robust Portfolio Optimization in an Illiquid Market in Discrete-Time," Mathematics, MDPI, vol. 7(12), pages 1-16, November.
    9. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    10. Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
    11. Ariel Neufeld & Marcel Nutz, 2015. "Robust Utility Maximization with L\'evy Processes," Papers 1502.05920, arXiv.org, revised Mar 2016.
    12. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers 2016-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023. "Worst-Case Optimal Investment in Incomplete Markets," Papers 2311.10021, arXiv.org, revised Dec 2024.
    14. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
    15. Ivan Guo & Nicolas Langrené & Gregoire Loeper & Wei Ning, 2020. "Robust utility maximization under model uncertainty via a penalization approach," Working Papers hal-02910261, HAL.
    16. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
    17. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    18. Revaz Tevzadze & Teimuraz Toronjadze & Tamaz Uzunashvili, 2013. "Robust utility maximization for a diffusion market model with misspecified coefficients," Finance and Stochastics, Springer, vol. 17(3), pages 535-563, July.
    19. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    20. Zongxia Liang & Ming Ma, 2020. "Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1035-1072, July.
    21. Alexander Schied, 2007. "Optimal investments for risk- and ambiguity-averse preferences: a duality approach," Finance and Stochastics, Springer, vol. 11(1), pages 107-129, January.
    22. Alexander Schied, 2008. "Robust optimal control for a consumption-investment problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 1-20, February.
    23. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
    24. Juan Li & Wenqiang Li & Gechun Liang, 2020. "A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models," Papers 2005.10660, arXiv.org, revised May 2021.
    25. Hernández-Hernández, Daniel & Schied, Alexander, 2007. "Robust maximization of consumption with logarithmic utility," SFB 649 Discussion Papers 2007-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Bogdan Iftimie, 2023. "A robust investment-consumption optimization problem in a switching regime interest rate setting," Journal of Global Optimization, Springer, vol. 86(3), pages 713-739, July.
    27. Amir Memartoluie & David Saunders & Tony Wirjanto, 2015. "Wrong-Way Bounds in Counterparty Credit Risk Management," Papers 1505.02292, arXiv.org.
    28. Hernández-Hernández, Daniel & Schied, Alexander, 2007. "A control approach to robust utility maximization with logarithmic utility and time-consistent penalties," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 980-1000, August.
    29. Zhou Yang & Gechun Liang & Chao Zhou, 2017. "Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs," Papers 1711.02939, arXiv.org, revised Dec 2018.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (1) 2010-04-24

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