Yuchong Zhang

University of Toronto - Department of Statistics

700 University Ave.

Toronto, Ontario M5S 1Z5

Canada

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 48,308

SSRN RANKINGS

Top 48,308

in Total Papers Downloads

1,920

SSRN CITATIONS
Rank 35,585

SSRN RANKINGS

Top 35,585

in Total Papers Citations

23

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

A Continuous Time Framework for Sequential Goal-Based Wealth Management

Number of pages: 63 Posted: 03 Jun 2022 Last Revised: 16 Oct 2023
Agostino Capponi and Yuchong Zhang
Columbia University - Department of Industrial Engineering and Operations Research and University of Toronto - Department of Statistics
Downloads 739 (65,793)
Citation 2

Abstract:

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goal based wealth management, funding ratios, dynamic programming, consumption

2.

Large Tournament Games

Number of pages: 57 Posted: 12 Feb 2018 Last Revised: 05 Nov 2018
Erhan Bayraktar, Jaksa Cvitanic and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics, California Institute of Technology - Division of the Humanities and Social Sciences and University of Toronto - Department of Statistics
Downloads 339 (167,458)
Citation 9

Abstract:

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Tournaments, rank-based rewards, mechanism design, mean field games, bifurcation diagram of Nash equilibria

3.

Lifetime Ruin Under Ambiguous Hazard Rate

Insurance: Mathematics and Economics, Vol. 70, 2016
Number of pages: 20 Posted: 13 Jun 2015 Last Revised: 30 Jun 2019
V.R. Young and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 182 (308,087)

Abstract:

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probability of lifetime ruin, ambiguity aversion, hazard rate uncertainty, optimal control, stochastic control

4.

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

Forthcoming, Mathematics of Operations Research
Number of pages: 24 Posted: 08 Feb 2014 Last Revised: 31 Aug 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 111 (458,183)
Citation 4

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Transaction costs, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, martingale selection problem

5.

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

SIAM Journal on Control and Optimization, 53(1), 58-90, 2015
Number of pages: 35 Posted: 07 Feb 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 91 (524,258)
Citation 2

Abstract:

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Probability of lifetime ruin, ambiguity aversion, drift uncertainty, viscosity solutions, Perron’s method, regularity

6.

A Note on the Fundamental Theorem of Asset Pricing Under Model Uncertainty

Risks, 2(4), 425-433, 2014
Number of pages: 9 Posted: 17 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Toronto - Department of Statistics and The University of Sydney
Downloads 73 (597,435)

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Model uncertainty, bid-ask prices for options, semi-static hedging, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, super-hedging, robust no-arbitrage, non-redundant options

7.

A Mean Field Competition

Number of pages: 33 Posted: 04 Aug 2017
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 68 (620,742)
Citation 6

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Mean Field Game, Rank-Based Reward, Optimal Contract, R and D Competition

8.

Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

SIAM Journal on Control and Optimization, 53(1), 91-113, 2015
Number of pages: 24 Posted: 30 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 62 (650,943)

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Stochastic Perron's method, singular control, probability of lifetime ruin, transaction costs, viscosity solutions, comparison principle

9.

Terminal Ranking Games

Forthcoming, Mathematics of Operations Research
Number of pages: 22 Posted: 27 Jun 2019 Last Revised: 22 Jun 2020
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 58 (672,528)
Citation 3

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tournaments, rank-based rewards, mechanism design, mean field games, price of anarchy, Schrodinger bridges, Lorenz order

10.

A Rank-Based Mean Field Game in the Strong Formulation

Electronic Communications in Probability, 21, paper no. 72, 1-12, 2016
Number of pages: 12 Posted: 13 May 2016 Last Revised: 30 Jun 2019
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 55 (689,376)
Citation 2

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Mean Field Games, Competition, Common Noise, Rank-Dependent Interaction, Non-Local Interaction, Strong Formulation

11.

Conditional Optimal Stopping: A Time-Inconsistent Optimization

Annals of Applied Probability, 30(4), 1669-1692, 2020
Number of pages: 34 Posted: 25 Jun 2019 Last Revised: 06 Nov 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 50 (719,707)

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Conditional optimal stopping, time-inconsistency, equilibrium

12.

Teamwise Mean Field Competitions

Number of pages: 31 Posted: 22 Jul 2020
Xiang Yu, Yuchong Zhang and Zhou Zhou
Hong Kong Polytechnic University, University of Toronto - Department of Statistics and The University of Sydney
Downloads 44 (759,201)
Citation 2

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13.

Mean Field Contest with Singularity

Number of pages: 29 Posted: 09 Mar 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 24 (922,688)
Citation 1

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Mean Field Game, Stochastic Contest, Optimal Contract, Stackelberg Game

14.

Reward Design in Risk-Taking Contests

SIAM Journal on Financial Mathematics, forthcoming
Number of pages: 16 Posted: 09 Mar 2021 Last Revised: 06 Nov 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 24 (922,688)
Citation 2

Abstract:

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Stochastic contest, Stackelberg game, optimal stopping