Z. George Yang

Flexible Plan Investments, Ltd.

Director of Research

3883 Telegraph Rd., Suite 100

Bloomfield Hills, MI 48302

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 7,942

SSRN RANKINGS

Top 7,942

in Total Papers Downloads

5,605

CITATIONS

5

Scholarly Papers (5)

1.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Z. George Yang and Liang Zhong
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,982 (3,613)
Citation 1

Abstract:

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portfolio optimization, risk control, drawdown loss, dynamic asset allocation, discrete trading, efficient frontier, rolling economic drawdown, leverage, risk aversion, power utility function, capital market expectation, Sharpe ratio, volatility, out-of-sample test

2.

Filtered Market Statistics and Technical Trading Rules

Number of pages: 30 Posted: 05 May 2013
Z. George Yang
Flexible Plan Investments, Ltd.
Downloads 1,227 (15,674)

Abstract:

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Daily Return Filter, Technical Trading Rule, Stock Market Index, S&P 500, Runs, Dual Moving Average Cross, Channel Trading

3.

Buy-Write or Put-Write: An Active Index Writing Portfolio to Strike it Right

Number of pages: 34 Posted: 01 May 2011
Z. George Yang
Flexible Plan Investments, Ltd.
Downloads 1,000 (21,298)
Citation 1

Abstract:

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Buy-Write, Put-Write, Dynamic Asset Allocation, Technical Analysis, Index Option Overlay, Portfolio Leverage, Golden Cross and Black Cross, Volatility Skew, Active Alpha, Risk Management

4.

Optimal Probabilistic Market Timing Using Bull Bear Cycle Statistics

Number of pages: 46 Posted: 17 Jun 2014 Last Revised: 13 Jul 2014
Z. George Yang and Jerry Wagner
Flexible Plan Investments, Ltd. and Flexible Plan Investments, Ltd.
Downloads 337 (87,518)
Citation 3

Abstract:

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bull/bear market cycle, probabilistic market timing, optimal trend following, Wonham Filter, hysteresis trading rule, Golden Cross, Back Test, in sample, out-of-sample

5.

Lifetime Active Portfolio Selection for Investments and Consumption – A Bull Bear Market Cycle Based Probabilistic Approach

Number of pages: 30 Posted: 10 May 2018
Z. George Yang
Flexible Plan Investments, Ltd.
Downloads 59 (354,813)

Abstract:

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lifetime portfolio selection, investment and consumption, multi-period continuous portfolio optimization, bull/bear market cycle, Wonham filter, conditional bull market probability, trend-following, mean reversion, back test, target date fund, glide path