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Equity markets and ESG dynamics : assessing spillovers and portfolio strategies through time-varying parameters

Wang, Yi; Ali, Shoaib; Ayaz, Muhammad - In: Energy economics 134 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015047135

An analytical solution for the HJB equation arising from the Merton problem

Zhu, Song-Ping; Ma, Guiyuan - In: International journal of financial engineering 5 (2018) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011922966

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149

Persistent link: https://www.econbiz.de/10012194749

Dynamic portfolio choice with return predictability and transaction costs

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988

Persistent link: https://www.econbiz.de/10012102528

Optimal investment and consumption with return predictability and execution costs

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419

Persistent link: https://www.econbiz.de/10012417252

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

Optimal Investment and Consumption with Return Predictability and Execution Costs

Ma, Guiyuan - 2019

We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal investment strategy indicates that the agent should trade...

Persistent link: https://www.econbiz.de/10012871582

Portfolio choice with return predictability and small trading frictions

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 111 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013349030

Dynamic mean-variance problem with frictions

Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, … - In: Finance and stochastics 26 (2022) 2, pp. 267-300

Persistent link: https://www.econbiz.de/10013197583

Revisiting the Merton problem : from HARA to CARA utility

Ma, Guiyuan; Zhu, Song-Ping - In: Computational economics 59 (2022) 2, pp. 651-686

Persistent link: https://www.econbiz.de/10013169029