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Dynamic Portfolio Choice and Consumption Plan under Inflation with Nominal and Indexed Bonds

Han, Nan-Wei - 2009

We solve for an intertemporal portfolio-consumption choice problem under inflation. We assume that the nominal interest rate is observable while the expected inflation rate is not. The inclusion of the indexed bond in the investor's portfolio provides the investor an opportunity to perfectly...

Persistent link: https://www.econbiz.de/10012719247

Managerial optimism, CEO retention, and corporate performance: evidence from bankruptcy-filing firms

Hung, Mao-Wei; Tsai, Wen-Hsin - In: Journal of economics and finance : JEF 44 (2020) 3, pp. 506-527

Persistent link: https://www.econbiz.de/10012239224

The importance of stock liquidity on option pricing

Feng, Shih-Ping; Hung, Mao-Wei; Wang, Yaw-Huei - In: International review of economics & finance : IREF 43 (2016), pp. 457-467

Persistent link: https://www.econbiz.de/10011625856

The impact of news articles and corporate disclosure on credit risk valuation

Tsai, Feng-Tse; Lu, Hsin-Min; Hung, Mao-Wei - In: Journal of banking & finance 68 (2016), pp. 100-116

Persistent link: https://www.econbiz.de/10011634804

Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks

Han, Nan-Wei; Hung, Mao-Wei - In: Insurance / Mathematics & economics 73 (2017), pp. 54-67

Persistent link: https://www.econbiz.de/10011702045

Incorporating model uncertainty into optimal insurance contract design

Pflug, Georg; Hung, Mao-Wei - In: Insurance / Mathematics & economics 73 (2017), pp. 68-74

Persistent link: https://www.econbiz.de/10011702048

Artificial momentum, native contrarian, and transparency in China

Lin, Hung-Wen; Hung, Mao-Wei; Huang, Jing-Bo - In: Computational economics 51 (2018) 2, pp. 263-294

Persistent link: https://www.econbiz.de/10011963668

Rainbow trend options : valuation and applications

Wang, Jr-Yan; Wang, Hsiao-Chuan; Ko, Yi-Chen; Hung, Mao-Wei - In: Review of derivatives research 20 (2017) 2, pp. 91-133

Persistent link: https://www.econbiz.de/10011935970

Revisiting generalized almost stochastic dominance

Chang, Jow-Ran; Liu, Wei-Han; Hung, Mao-Wei - In: Decision making and risk/return optimization in …, (pp. 175-192). 2019

Persistent link: https://www.econbiz.de/10012134793

A lattice model for option pricing under GARCH-jump processes

Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da - In: Review of Derivatives Research 16 (2013) 3, pp. 295-329

This study extends the GARCH pricing tree in Ritchken and Trevor (J Financ 54:366–402, <CitationRef CitationID="CR33">1999</CitationRef>) by incorporating an additional jump process to develop a lattice model to value options. The GARCH-jump model can capture the behavior of asset prices more appropriately given its consistency with...</citationref>

Persistent link: https://www.econbiz.de/10010989563