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Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 6-20

Persistent link: https://www.econbiz.de/10011691490

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

Mean-variance versus expected utility in dynamic investment analysis

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 3-22

Persistent link: https://www.econbiz.de/10008992080

The Epstein-Zin model with liquidity extension

Liu, Weimin; Luo, Di; Zhao, Huainan - In: The financial review : the official publication of the … 51 (2016) 1, pp. 113-146

Persistent link: https://www.econbiz.de/10011436806

Transaction costs, liquidity risk, and the CCAPM

Liu, Weimin; Luo, Di; Zhao, Huainan - In: Journal of banking & finance 63 (2016), pp. 126-145

Persistent link: https://www.econbiz.de/10011634184

The bias of growth opportunity

Gong, Cynthia M.; Li, Xindan; Luo, Di; Zhao, Huainan - In: European financial management : the journal of the … 28 (2022) 4, pp. 926-963

Persistent link: https://www.econbiz.de/10013415735

Transaction Costs, Liquidity Risk, and the CCAPM

Liu, Weimin - 2015

In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure...

Persistent link: https://www.econbiz.de/10013033316