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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
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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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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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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