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Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80
Persistent link: https://www.econbiz.de/10012239478
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Investment-consumption optimization with transaction cost and learning about return predictability
Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891
Persistent link: https://www.econbiz.de/10015048184
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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Portfolio optimization in a regime-switching market with derivatives
Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European journal of operational research : EJOR 233 (2014) 1, pp. 184-192
Persistent link: https://www.econbiz.de/10010225264
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Equilibruim approach of asset pricing under Lévy process
Fu, Jun; Yang, Hailiang - In: European journal of operational research : EJOR 223 (2012) 3, pp. 701-708
Persistent link: https://www.econbiz.de/10009656149
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Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Yao, Dingjun; Yang, Hailiang; Wang, Rongming - In: European journal of operational research : EJOR 211 (2011) 3, pp. 568-576
Persistent link: https://www.econbiz.de/10008933373
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Optimal asset allocation: Risk and information uncertainty
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung - In: European journal of operational research : EJOR 251 (2016) 2, pp. 554-561
Persistent link: https://www.econbiz.de/10011444354
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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Jin, Zhuo; Liu, Guo; Yang, Hailiang - In: European journal of operational research : EJOR 280 (2020) 3, pp. 1130-1143
Persistent link: https://www.econbiz.de/10012132524
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Equilibruim approach of asset pricing under Lévy process
Fu, Jun; Yang, Hailiang - In: European journal of operational research : EJOR 223 (2012) 3, pp. 701-709
Persistent link: https://www.econbiz.de/10010023397