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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

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

An analytical solution for the HJB equation arising from the Merton problem

Zhu, Song-Ping; Ma, Guiyuan - In: International journal of financial engineering 5 (2018) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011922966

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

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149

Persistent link: https://www.econbiz.de/10012194749

Revisiting the Merton problem : from HARA to CARA utility

Ma, Guiyuan; Zhu, Song-Ping - In: Computational economics 59 (2022) 2, pp. 651-686

Persistent link: https://www.econbiz.de/10013169029

Valuation of general contingent claims with short selling bans : an equal-risk pricing approach

Ma, Guiyuan; Zhu, Song-Ping; Guo, Ivan - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-33

Persistent link: https://www.econbiz.de/10013371196

Portfolio choice with return predictability and small trading frictions

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 111 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013349030

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

Persistent link: https://www.econbiz.de/10013273116

Recognition of entrepreneur's social ties and firm innovation in emerging markets : explanation from the industrial institutional environment and survival pressure

Chen, Wenting; Han, Chunjia; Wang, Lei; Ieromonachou, Petros - In: Asia Pacific journal of management 38 (2021) 2, pp. 491-518

Persistent link: https://www.econbiz.de/10012542603