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A discontinuous mispricing model under asymmetric information

Buckley, Winston S.; Long, Hongwei - In: European journal of operational research : EJOR 243 (2015) 3, pp. 944-955

Persistent link: https://www.econbiz.de/10010513805

m-Double Poisson Lévy markets

Buckley, Winston S.; Long, Hongwei; Perera, Sandun - In: Quantitative finance 20 (2020) 10, pp. 1663-1679

Persistent link: https://www.econbiz.de/10012295630

A jump model for fads in asset prices under asymmetric information

Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European journal of operational research : EJOR 236 (2014) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10010361742

Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets

Buckley, Winston; Long, Hongwei; Marshall, Mario - In: European journal of operational research : EJOR 252 (2016) 2, pp. 676-686

Persistent link: https://www.econbiz.de/10011457778

A mispricing model of stocks under asymmetric information

Buckley, Winston S.; Brown, Garfield O.; Marshall, Mario - In: European journal of operational research : EJOR 221 (2012) 3, pp. 584-592

Persistent link: https://www.econbiz.de/10009563409

A jump model for fads in asset prices under asymmetric information

Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European Journal of Operational Research 236 (2014) 1, pp. 200-208

This paper addresses how asymmetric information, fads and Lévy jumps in the price of an asset affect the optimal portfolio strategies and maximum expected utilities of two distinct classes of rational investors in a financial market. We obtain the investors’ optimal portfolios and maximum...

Persistent link: https://www.econbiz.de/10010871206