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Master of Business Administration (Financial Services)

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ResearchWith the exception <strong>of</strong> the 6 years spent as Director <strong>of</strong> the School <strong>of</strong> <strong>Business</strong>, I haveactively engaged in research as part <strong>of</strong> my academic career at Dalhousie University. Myarea <strong>of</strong> interest is stochastic dynamic systems, with applications in finance, healthsystems, and aviation. I have a network <strong>of</strong> colleagues (W. Ziemba, A. Richman, L.Weldon), and I have worked with them over many years. I am a member <strong>of</strong> theStochastic Optimization Network (SONET), a broad coalition <strong>of</strong> researchers interested inthe theory and applications <strong>of</strong> stochastic models.Publications:MacLean, L., Richman, A. (2009). Risk Assessment for Multiple Hazards withSensitivity to the Concentration <strong>of</strong> Severity. Submitted to ISSC 27.MacLean, L., Zhao, Y. and Ziemba, W. (2009) Optimal capital growth with convex losspenalties. Working paper, School <strong>of</strong> <strong>Business</strong> <strong>Administration</strong>, Dalhousie University.MacLean, L., Thorp, E., and Ziemba, W. (2009). Good and bad properties <strong>of</strong> the KellyCriterion. To appear in The Kelly Capital Growth Investment Criterion: Theory andPractice. World Scientific Publishing Co., Singapore.MacLean, L., Thorp, E., Zhao, Y. and Ziemba, W. (2009) Medium term simulations <strong>of</strong>Kelly, fractional Kelly and proportional betting strategies. To appear in The Kelly CapitalGrowth Investment Criterion: Theory and Practice. World Scientific Publishing Co.,Singapore.MacLean, L., Consigli, G., Zhao, Y. and Ziemba, W. (2009) Risk Indicators in <strong>Financial</strong>Markets. Accepted by Mathematical Methods in Economics and Finance.MacLean, L., Zhao, Y., and Ziemba, W. (2009). Mean-Variance versus Expected Utilityin Dynamic Investment Analysis.” Computational Management Science (Forthcoming).Consigli, G., MacLean, L., Zhao, Y., and Ziemba, W. (2009). The Bond-Stock YieldDifferential as a Risk Indicator in <strong>Financial</strong> Markets. The Journal <strong>of</strong> Risk 11(3),1-22.MacLean, L., Zhao, Y., and Ziemba, W. (2009) Weak interest rate parity and currencyportfolio diversification. Accepted by Infiniti Conference (publishes selection <strong>of</strong> papersin Journal <strong>of</strong> Banking and Finance) .MacLean, L., Richman, A.(2008). An aggregate risk priority index for systems failures.Proceedings <strong>of</strong> 26 th International Systems Safety Conference, Vancouver, Canada.MacLean, L., Ziemba, W.T. (2008) The Kelly Strategy. In Encyclopedia <strong>of</strong> QuantitativeFinance. John Wiley and Sons, UK.253

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