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Impact of risk aversion and belief heterogeneity on trading of defaultable claims

Kim, Jinbeom; Leung, Tim - In: Optimization models with economic and game theoretic …, (pp. 117-146). 2016

Persistent link: https://www.econbiz.de/10011533434

Optimal derivative liquidation timing under path-dependent risk penalties

Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10010528389

Optimal dynamic basis trading

Angoshtari, Bahman; Leung, Tim - In: Annals of finance 15 (2019) 3, pp. 307-335

Persistent link: https://www.econbiz.de/10012240079

Optimal dynamic pairs trading of futures under a two-factor mean-reverting model

Leung, Tim; Yan, Raphael - In: International journal of financial engineering 5 (2018) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10011923058

Optimal mean reversion trading with transaction costs and stop-loss exit

Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403754

Accounting for risk aversion in derivatives purchase timing

Leung, Tim; Ludkovski, Mike - In: Mathematics and financial economics 6 (2012) 4, pp. 363-386

Persistent link: https://www.econbiz.de/10009623554

Risk premia and optimal liquidation of credit derivatives

Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10009707094

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870

Persistent link: https://www.econbiz.de/10010190872

Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options

Leung, Tim; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10003818394

A diversification framework for multiple pairs trading strategies

Lee, Kiseop; Leung, Tim; Ning, Boming - In: Risks : open access journal 11 (2023) 5, pp. 1-18

We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the...

Persistent link: https://www.econbiz.de/10014333526