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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 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

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

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

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

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

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

A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching

He, Xin‐Jiang; Chen, Wenting - In: International Journal of Finance & Economics 26 (2019) 1, pp. 343-352

Persistent link: https://www.econbiz.de/10012189280

The pricing of credit default swaps under a generalized mixed fractional Brownian motion

He, Xinjiang; Chen, Wenting - In: Physica A: Statistical Mechanics and its Applications 404 (2014) C, pp. 26-33

In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to...

Persistent link: https://www.econbiz.de/10010931553

Establishment of a maturity model to assess the development of industrial AI in smart manufacturing

Chen, Wenting; Liu, Caihua; Xing, Fei; Peng, Guochao; … - In: Journal of Enterprise Information Management 35 (2021) 3, pp. 701-728

Purpose: The benefits of artificial intelligence (AI) related technologies for manufacturing firms are well recognized, however, there is a lack of industrial AI (I-AI) maturity models to enable companies to understand where they are and plan where they should go. The purpose of this study is...

Persistent link: https://www.econbiz.de/10012640140