Yonggan Zhao (Draft Profile)
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Yonggan Zhao, PhD (British Columbia), MSc (Western Kentucky), BSc (Anhui, China)
Canada Research Chair (Tier II) in Risk Management
My research interests are mainly in the area of dynamic risk management in an incomplete market setting where practical constraints exist. While my research focuses on practical investment modeling, the objective is to incorporate mathematical rigor and economic theory into models where appropriate. I am developing innovative simulation and optimization algorithms involving model design and model calibration to identify appropriate dynamics of asset returns under uncertainty. As an extension to this analysis, the research then focuses on deriving optimal investment strategies under alternative risk measures and state-dependent dynamic economy.