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Portfolio choice with market closure and implications for liquidity premia
Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun - In: Management science : journal of the Institute for … 62 (2016) 2, pp. 368-386
Persistent link: https://www.econbiz.de/10011446196
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Incomplete information and the liquidity premium puzzle
Chen, Yingshan; Dai, Min; Goncalves-Pinto, Luis; Xu, Jing; … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5703-5729
Persistent link: https://www.econbiz.de/10012650154
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Portfolio selection with capital gains tax, recursive utility, and regime switching
Cai, Jiatu; Chen, Xinfu; Dai, Min - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2308-2324
Persistent link: https://www.econbiz.de/10011874111
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A dynamic mean-variance analysis for log returns
Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108
Persistent link: https://www.econbiz.de/10012505370
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Nonconcave utility maximization with portfolio bounds
Dai, Min; Kou, Steven; Qian, Shuaijie; Wan, Xiangwei - In: Management science : journal of the Institute for … 68 (2022) 11, pp. 8368-8385
Persistent link: https://www.econbiz.de/10014280204