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Numerical analysis of a free-boundary singular control problem in financial economics

Hindy, Ayman; Huang, Chi-fu; Zhu, Steven H. - In: Journal of Economic Dynamics and Control 21 (1997) 2-3, pp. 297-327

Persistent link: https://www.econbiz.de/10005160900

Optimal consumption and portfolio rules with durability and habit formation

Hindy, Ayman; Huang, Chi-fu; Zhu, Steven H. - In: Journal of Economic Dynamics and Control 21 (1997) 2-3, pp. 525-550

Persistent link: https://www.econbiz.de/10005205157

Multiperiod security markets with differential information : Martingales and resolution times

Duffie, Darrell; Huang, Chi-fu - In: Journal of Mathematical Economics 15 (1986) 3, pp. 283-303

Persistent link: https://www.econbiz.de/10005374053

A variational problem arising in financial economics

Cox, John C.; Huang, Chi-fu - In: Journal of Mathematical Economics 20 (1991) 5, pp. 465-487

Persistent link: https://www.econbiz.de/10005374105

Information structures and viable price systems

Huang, Chi-fu - In: Journal of Mathematical Economics 14 (1985) 3, pp. 215-240

Persistent link: https://www.econbiz.de/10005374180

Option pricing in a lognormal securities market with discrete trading : A comment

Brown, David; Huang, Chi-fu - In: Journal of Financial Economics 12 (1983) 2, pp. 285-286

Persistent link: https://www.econbiz.de/10005376612

On intertemporal preferences in continuous time : The case of certainty

Hindy, Ayman; Huang, Chi-fu; Kreps, David - In: Journal of Mathematical Economics 21 (1992) 5, pp. 401-440

Persistent link: https://www.econbiz.de/10005388138

The Economics of Treasury Securities Markets

Bikhchandani, Sushil; Huang, Chi-fu - In: Journal of Economic Perspectives 7 (1993) 3, pp. 117-134

The market for Treasury securities attracted considerable attention recently, after alleged infringements by Salomon Brothers. Several questions have been raised about the best way of selling U.S. government debt. One issue is whether altering the auction format would yield greater revenues for...

Persistent link: https://www.econbiz.de/10005560934

Optimal Consumption and Portfolio Rules with Durability and Local Substitution.

Hindy, Ayman; Huang, Chi-fu - In: Econometrica 61 (1993) 1, pp. 85-121

A model of optimal consumption and portfolio choice that captures the notions of local substitution and irreversible purchases of durable goods is studied. Necessary and sufficient conditions for a consumption and portfolio policy to be optimal are provided. A closed-form solution of the optimal...

Persistent link: https://www.econbiz.de/10005332577

Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Dybvig, Philip H.; Huang, Chi-fu - In: Review of Financial Studies 1 (1988) 4, pp. 377-401

Persistent link: https://www.econbiz.de/10005564001