Qiji Jim Zhu

Western Michigan University

Kalamazoo, MI 49008

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 779

in Total Papers Downloads

53,212

SSRN CITATIONS
Rank 14,235

SSRN RANKINGS

Top 14,235

in Total Papers Citations

81

CROSSREF CITATIONS

21

Scholarly Papers (16)

1.

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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 16,191 (446)
Citation 30

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

2.
Downloads 16,164 ( 447)
Citation 24

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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 16,158 (441)
Citation 12

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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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 6 (1,117,956)
Citation 9
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

3.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
The Hong Kong Polytechnic University, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 5,157 (3,232)
Citation 6

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

4.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 17 Posted: 07 Dec 2013 Last Revised: 03 Sep 2019
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, None and Western Michigan University
Downloads 3,238 (7,028)
Citation 3

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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
The Hong Kong Polytechnic University, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 2,359 (11,585)
Citation 1

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6.

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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Western Michigan University
Downloads 2,318 (11,947)

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

7.

Optimal Betting Sizes for the Game of Blackjack

Number of pages: 24 Posted: 15 Sep 2013
Ralph Vince and Qiji Jim Zhu
None and Western Michigan University
Downloads 1,744 (18,676)
Citation 2

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Black Jack, betting size, risk management

8.

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)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 1,250 (30,868)
Citation 3

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

9.

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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 1,214 (32,184)
Citation 3

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

10.

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, None and Connors Global Indexes, LLC
Downloads 1,189 (33,179)
Citation 2

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Dynamic portfolio, money management, risk control

11.

Inflection Point Significance for the Investment Size

Number of pages: 17 Posted: 11 Mar 2013
Ralph Vince and Qiji Jim Zhu
None and Western Michigan University
Downloads 932 (46,809)
Citation 4

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risk analysis, growth portfolio, inflection point

12.

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

Number of pages: 44 Posted: 29 Jun 2015
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, None and Western Michigan University
Downloads 713 (67,220)

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

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 274 (204,947)

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Convex analysis, duality, mathematical finance

14.

Bank Balance Sheet Risk Allocation

Number of pages: 32 Posted: 08 Jan 2020
Pedro Júdice and Qiji Jim Zhu
Business Research Unit, Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) and Western Michigan University
Downloads 184 (298,861)

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Interest rate risk, credit risk, balance sheet optimization, risk allocation, duality.

15.

Investment System Specific Option Pricing Intervals and Vector Majorization

Number of pages: 30 Posted: 20 Mar 2007
Qiji Jim Zhu
Western Michigan University
Downloads 155 (346,669)
Citation 2

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

16.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
University of Newcastle (Australia)Royal Society of Canada and Western Michigan University
Downloads 130 (398,755)

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Lagrange Multiplier, duality, constrained optimization.