This study investigates the volume-return relationship using data from the Chinese stock market. Based on the model set up by Llorente et al. (2002), we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov switching model was used to...

A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's...

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...