Similar Search Results

Lévy risk model with two-sided jumps and a barrier dividend strategy

Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291

Persistent link: https://www.econbiz.de/10009507927

Optimal investment and consumption with default risk : HARA utility

Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei - In: Asia-Pacific financial markets 20 (2013) 3, pp. 261-281

Persistent link: https://www.econbiz.de/10010188303

International reserve management : a drift-switching reflected jump-diffusion model

Cai, Ning; Yang, Xuewei - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 409-446

Persistent link: https://www.econbiz.de/10011969150

Performance evaluation and herd behavior in a laboratory financial market

Yang, Xiaolan; Gao, Mei; Wu, Yun; Jin, Xuejun - In: Journal of behavioral and experimental economics 75 (2018), pp. 45-54

Persistent link: https://www.econbiz.de/10012038365

Delta hedging and volatility-price elasticity : a two-step approach

Xia, Kun; Yang, Xuewei; Zhu, Peng - In: Journal of banking & finance 153 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014490307

Extreme absolute strength of stocks and performance of momentum strategies

Yang, Xuebing; Zhang, Huilan - In: Journal of financial markets 44 (2019), pp. 71-90

Persistent link: https://www.econbiz.de/10012317420

Bequest motive, household portfolio choice, and wealth inequality in urban China

Yang, Xintong; Gan, Li - In: China economic review : an international journal 60 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012604606

Evolution of short-term contrarian profits

Yang, Xuebing; Zhang, Huilan - In: Studies in economics and finance 41 (2024) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10014467183

Financial asset allocation and green innovation

Duan, Jun; Liu, Tingting; Yang, Xiaoran; Yang, Hua; … - In: Green finance : GF 5 (2023) 4, pp. 512-537

Persistent link: https://www.econbiz.de/10014451489

International Reserve Management : A Drift-Switching Reflected Jump-Diffusion Model

Cai, Ning - 2016

We study the cost of shocks, i.e., jump risk, with respect to reserve management when the reserve process is formulated as a drift switching jump-diffusion with a reflecting barrier at 0. Inspired by the Brownian drift switching model, our model results in a more realistic dynamic behavior of...

Persistent link: https://www.econbiz.de/10013005998