Qiji Jim Zhu

Western Michigan University

Kalamazoo, MI 49008

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 710

SSRN RANKINGS

Top 710

in Total Papers Downloads

25,662

CITATIONS
Rank 40,177

SSRN RANKINGS

Top 40,177

in Total Papers Citations

4

Scholarly Papers (15)

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 6,676 (648)

Abstract:

backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

The Probability of Backtest Overfitting

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 21 Sep 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 0

Abstract:

backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

2.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 6,523 (390)
Citation 1

Abstract:

backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

3.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,752 (2,895)
Citation 1

Abstract:

trend following trading rule, bull-bear switching model, partial information, HJB equations

4.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Guggenheim Partners, LLC, LSP Partners, LLC and Western Michigan University
Downloads 1,182 (7,992)

Abstract:

Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

5.

Optimal Trend Following Trading Rules

Number of pages: 20 Posted: 27 Jun 2010 Last Revised: 12 Jun 2015
Min Dai, Zhou Yang, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 944 (13,245)
Citation 1

Abstract:

6.

Optimal Betting Sizes for the Game of Blackjack

Number of pages: 24 Posted: 15 Sep 2013
Ralph Vince and Qiji Jim Zhu
LSP Partners, LLC and Western Michigan University
Downloads 552 (19,469)

Abstract:

Black Jack, betting size, risk management

7.

A Dynamic Implementations of the Leverage Space Portfolio

Number of pages: 18 Posted: 11 Mar 2013
Qiji Jim Zhu, Ralph Vince and Steven Malinsky
Western Michigan University, LSP Partners, LLC and Connors Global Indexes, LLC
Downloads 479 (28,926)
Citation 1

Abstract:

Dynamic portfolio, money management, risk control

8.

Inflection Point Significance for the Investment Size

Number of pages: 17 Posted: 11 Mar 2013
Ralph Vince and Qiji Jim Zhu
LSP Partners, LLC and Western Michigan University
Downloads 394 (33,561)

Abstract:

risk analysis, growth portfolio, inflection point

9.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia, Guggenheim Partners, LLC and Western Michigan University
Downloads 311 (41,451)

Abstract:

Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy

10.

Mathematical Appendices to: 'The Probability of Backtest Overfitting'

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 8 Posted: 23 Feb 2015 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 170 (60,634)

Abstract:

backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

11.

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Number of pages: 44 Posted: 29 Jun 2015
Guggenheim Partners, LLC, LSP Partners, LLC and Western Michigan University
Downloads 96 (103,972)

Abstract:

Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

12.

Investment System Specific Option Pricing Intervals and Vector Majorization

Number of pages: 30 Posted: 20 Mar 2007
Qiji Jim Zhu
Western Michigan University
Downloads 92 (220,229)

Abstract:

Option pricing interval, incomplete market, investment systems, the Kelly citerion, efficiency index, majorization, convex optimization

13.

Convex Analysis in Financial Mathematics

Nonlinear Analysis 75 (2012) 1719-1736, 2011
Number of pages: 18 Posted: 13 Jun 2015
Qiji Jim Zhu
Western Michigan University
Downloads 32 (165,990)

Abstract:

Convex analysis, duality, mathematical finance

14.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
Jonathan M. Borwein and Qiji Jim Zhu
University of Newcastle (Australia) and Western Michigan University
Downloads 25 (331,341)

Abstract:

Lagrange Multiplier, duality, constrained optimization.

15.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC, University of Newcastle, Australia and Western Michigan University
Downloads 0 (24,555)

Abstract:

backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation