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Implementing option pricing models when asset returns are predictable

Lo, Andrew W.; Wang, Jiang - Sloan School of Management, Massachusetts Institute of … - 1993

Persistent link: https://www.econbiz.de/10005035487

The term structure of interest rates in a pure exchange economy with heterogeneous investors

Wang, Jiang - Sloan School of Management, Massachusetts Institute of … - 1995

Persistent link: https://www.econbiz.de/10005574699

Differential information and dynamic behavior of stock trading volume

Wang, Jiang; He, Hua. - Sloan School of Management, Massachusetts Institute of … - 1994

"First draft: December 1992, Last revision: August 1994"--2nd Prelim. p.

Persistent link: https://www.econbiz.de/10005587528

The Price Impact and Survival of Irrational Traders

Kogan, Leonid; Ross, Stephen; Wang, Jiang; Westerfield, Mark - Sloan School of Management, Massachusetts Institute of … - 2003

Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price influence have been assumed to be the same. Often partial equilibrium analysis has been relied upon to...

Persistent link: https://www.econbiz.de/10005587547

Evaluating Portfolio Policies: A Duality Approach

Kogan, Leonid; Haugh, Martin; Wang, Jiang - Sloan School of Management, Massachusetts Institute of … - 2003

The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using...

Persistent link: https://www.econbiz.de/10005035480