Qiji Jim Zhu

Western Michigan University

Kalamazoo, MI 49008

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 704

SSRN RANKINGS

Top 704

in Total Papers Downloads

42,766

SSRN CITATIONS
Rank 17,468

SSRN RANKINGS

Top 17,468

in Total Papers Citations

42

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 13,526 (349)
Citation 13

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

2.
Downloads 12,466 ( 416)
Citation 13

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 12,464 (406)
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 2 (816,199)
Citation 1
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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, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 4,465 (2,559)
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, Vince Strategies LLC and Western Michigan University
Downloads 2,827 (5,622)
Citation 2

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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)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 1,943 (10,327)

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

6.

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 1,402 (17,313)
Citation 2

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Black Jack, betting size, risk management

7.

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, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,379 (17,735)
Citation 1

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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 1,001 (28,418)
Citation 2

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Dynamic portfolio, money management, risk control

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)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 978 (29,347)
Citation 3

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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)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 918 (32,149)
Citation 5

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

11.

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 829 (36,943)
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, Vince Strategies LLC and Western Michigan University
Downloads 558 (62,356)

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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 215 (178,569)

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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 114 (301,109)
Citation 2

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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
University of Newcastle (Australia)Royal Society of Canada and Western Michigan University
Downloads 75 (392,334)

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Lagrange Multiplier, duality, constrained optimization.

16.

Bank Balance Sheet Risk Allocation

Number of pages: 32 Posted: 08 Jan 2020
Pedro J├║dice and Qiji Jim Zhu
Montepio Bank and Western Michigan University
Downloads 70 (407,514)

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