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Optimal investment and consumption with return predictability and execution costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419
Persistent link: https://www.econbiz.de/10012417252
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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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A new algorithm for calibrating local regime-switching models
He, Xin-Jiang; Zhu, Song-Ping - In: IMA journal of management mathematics 32 (2021) 2, pp. 237-255
Persistent link: https://www.econbiz.de/10012434403