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Mathematical finance

Kohlmann, Michael (ed.); Tang, Shanjian (contributor) - 2001

Persistent link: https://www.econbiz.de/10001563491

Representation of dynamic time-consistent convex risk measures with jumps

Tang, Shanjian; Wei, Wenning - In: Risk and decision analysis 3 (2012) 3, pp. 167-190

Persistent link: https://www.econbiz.de/10009655735

Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Hu, Ying - 2020

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who...

Persistent link: https://www.econbiz.de/10012832328

Generalized disappointment aversion and the cross-section of stock returns

Lu, Xiaohua; Hu, Yonghong - In: Applied economics letters 30 (2023) 17, pp. 2455-2463

Persistent link: https://www.econbiz.de/10014365936

Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds

Xu, Danyang; Corbet, Shaen; Lang, Chunlin; Hu, Yang - In: Economic modelling 141 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015191410

A deep learning-based financial hedging approach for the effective management of commodity risks

Hu, Yan; Ni, Jian - In: The journal of futures markets 44 (2024) 6, pp. 879-900

Persistent link: https://www.econbiz.de/10014536702

Bitcoin forks : What drives the branches?

Conlon, Thomas; Corbet, Shaen; Hou, Yang; Hu, Yang; … - In: Research in international business and finance 69 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015052526

Return connectedness of green bonds and financial investment channels in China : implications for hedging and regulation

Xu, Danyang; Hu, Yang; Corbet, Shaen; Lang, Chunlin - In: Research in international business and finance 70 (2024) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015053793

Investors' willingness to use robo-advisors : extrapolating influencing factors based on the fiduciary duty of investment advisors

Luo, Haohan; Liu, Xin; Lv, Xingyang; Hu, Yubei; Ahmad, … - In: International review of economics & finance : IREF 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014583520

Dynamic return connectedness between commodities and travel & leisure ETFs : investment strategies and portfolio implications

Lang, Chunlin; Hu, Yang; Corbet, Shaen; Goodell, John W. - In: Finance research letters 58 (2023) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014631118