Qiji Jim Zhu

Western Michigan University

Kalamazoo, MI 49008

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 596

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Top 596

in Total Papers Downloads

32,982

CITATIONS
Rank 39,907

SSRN RANKINGS

Top 39,907

in Total Papers Citations

4

Scholarly Papers (15)

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), AQR Capital Management, LLC and Western Michigan University
Downloads 10,871 (332)
Citation 1

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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 (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), AQR Capital Management, LLC and Western Michigan University
Downloads 9,109 (468)

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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), AQR Capital Management, LLC and Western Michigan University
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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
National University of Singapore (NUS) - Department of Mathematics, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 3,537 (2,486)
Citation 1

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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: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 2,011 (6,521)

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

5.

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), AQR Capital Management, LLC, University of Technology Sydney, Australia and Western Michigan University
Downloads 1,472 (10,984)

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

6.

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 1,264 (13,994)
Citation 1

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7.

Optimal Betting Sizes for the Game of Blackjack

Number of pages: 24 Posted: 15 Sep 2013
Ralph Vince and Qiji Jim Zhu
Vince Strategies LLC and Western Michigan University
Downloads 1,130 (16,676)

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Black Jack, betting size, risk management

8.

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, Vince Strategies LLC and Connors Global Indexes, LLC
Downloads 818 (26,890)
Citation 1

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Dynamic portfolio, money management, risk control

9.

Inflection Point Significance for the Investment Size

Number of pages: 17 Posted: 11 Mar 2013
Ralph Vince and Qiji Jim Zhu
Vince Strategies LLC and Western Michigan University
Downloads 734 (31,186)

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risk analysis, growth portfolio, inflection point

10.

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 Technology Sydney, Australia, AQR Capital Management, LLC and Western Michigan University
Downloads 704 (32,951)

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

11.

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), AQR Capital Management, LLC and Western Michigan University
Downloads 613 (39,627)

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

12.

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

Number of pages: 44 Posted: 29 Jun 2015
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 376 (73,150)

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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 192 (147,721)

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Convex analysis, duality, mathematical finance

14.

Investment System Specific Option Pricing Intervals and Vector Majorization

Number of pages: 30 Posted: 20 Mar 2007
Qiji Jim Zhu
Western Michigan University
Downloads 100 (249,028)

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

15.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
Jonathan Borwein and Qiji Jim Zhu
University of Newcastle (Australia) and Western Michigan University
Downloads 51 (362,027)

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Lagrange Multiplier, duality, constrained optimization.