Publications

RiskLab Publications

If you would like to obtain more information regarding any of our publications listed here, please contact the RiskLab team at: RiskLab.

Uncover Temporal Causal Interrelationships between Key Economic Indicators Through Peter-Clark Algorithm,

Htoo Wai Aung, Zili Zhu, Geoffrey Lee, Ying Guo, Jiaming Li,

submitted to the Journal of Computational Economics, March, 2025.

Revealing Economic Relationship Structures through Causal Inference: A Data-Driven Approach,

Htoo Wai Aung, Ying Guo, Zili Zhu, Jiaming Li, and Geoffrey Lee.

submitted to Journal of Economic Dynamics and Control, December 13, 2024.

Options on temporary water allocation rights and their pricing,

Geoff Lee, Wenfeng Dong, Zili Zhu, The Australian Journal of Agricultural and Resource Economics, https://doi.org/10.1111/1467-8489.12562, March 2024.

Using the pension multiple to measure retirement outcomes,

A Minney, Z Zhu, Y Guo, J Li, P Toscas, B Koo, AA Pantelous.

Finance Research Letters 49, 103149. October 2022.

Introducing Two Mixing Fractions to a Lognormal LSV Model.

Geoff Lee, Bowie Owens and Zili Zhu: “

Journal of Computational Finance 24(2), 1–18 DOI: 10.21314/JCF.2020.389 2020.

A Multivariate Model to Quantify and Mitigate Cybersecurity Risk,

Mark Bentley, Alec Stephenson, Peter Toscas and Zili Zhu

Risks 2020, Issue 2, Volume 8, pages 61; doi:10.3390/risks8020061.

Skewed Target Range Strategy for Multi-period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method.

Zhang, Rongju and Langrené, Nicolas and Tian, Yu and Zhu, Zili and Klebaner, Fima and Hamza, Kais,

Journal of Computational Finance23, pp.97–127, 2019.

Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach.

Zhang, Rongju and Langrené, Nicolas and Tian, Yu and Zhu, Zili and Klebaner, Fima and Hamza, Kais,

Quantitative Finance, 19:3, 519-532, 2019, DOI:

10.1080/14697688.2018.1524155 https://doi.org/10.1080/14697688.2018.1524155.

Superannuation Drawdown Behaviour,

Thomas Sneddon, Andrew Reeson, Zili Zhu, Alec Stephenson, Elizabeth V Hobman, Peter Toscas

JASSA; Sydney2 (2016): 42-53.

Modelling defined contribution retirement outcomes: A stochastic approach using Australia as a case study,

Thomas Sneddon, Dr Zili Zhu and Dr Colin O’Hare, 

Australian Journal of Actuarial Practice (AJAP) Volume 4, Page 5-19, 2016.

Management flexibility, price uncertainty and the adoption of carbon forestry,

Andrew Reeson, Lachlan Rudd and Zili Zhu,

the Land Use Policy by Elsevier, Volume 46, pp 267-272, July 2015.

    Personalised drawdown strategies and partial annuitisation to mitigate longevity risk

    Wen Chen, Aaron Minney, Peter Toscas, Bonsoo Koo, Zili Zhu, Athanasios A. Pantelous

    Full PDF: Online_Supplementary_Materials_20_Apr

    Australian Household Superannuation, Balances at the Date of Retirement

    Yunxiao Wang, Colin O’Hare, Alec G. Stephenson, Bonsoo Koo, Peter Toscas, Zili Zhu, Andrew Reeson, Aaron Minney

    Keywords: Superannuation; Superannuation Balance; Household assets; Retirement savings; Lump sum; Income stream; DHS data

    Incorporating Primary Home Value in Total Testable Assets for Australia’s Age Pension

    Yunxiao Wang, Alec G. Stephenson, Colin O’Hare, Bonsoo Koo, Peter Toscas, Zili Zhu, Andrew Reeson, Aaron Minney

    Keywords: Age Pension; Asset test; Retirement savings; Superannua- tion; Primary home

    Superannuation Drawdown Behaviour for Australian Households

    Alec G. Stephenson, Peter Toscas, Zili Zhu, Andrew Reeson, Aaron Minney, Yunxiao Wang, Bonsoo Koo, Colin O’Hare

    Keywords: Assets; Longevity; Retirement; Savings; Superannua- tion