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Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon

Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470

Persistent link: https://www.econbiz.de/10010192881

Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability

Wu, Huiling; Zeng, Yan; Yao, Haixiang - In: Economic modelling 36 (2014), pp. 69-78

Persistent link: https://www.econbiz.de/10010412027

Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow

Wu, Huiling; Li, Zhongfei - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 371-384

Persistent link: https://www.econbiz.de/10009544166

Nash equilibrium strategy for a multi-period mean-variance portfolio selection problem with regime switching

Wu, Huiling; Chen, Hua - In: Economic modelling 46 (2015), pp. 79-90

Persistent link: https://www.econbiz.de/10011436534

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk

Wu, Huiling; Zeng, Yan - In: Insurance / Mathematics & economics 64 (2015), pp. 396-408

Persistent link: https://www.econbiz.de/10011398120

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

Wu, Huiling; Weng, Chengguo; Zeng, Yan - In: OR spectrum : quantitative approaches in management 40 (2018) 2, pp. 541-582

Persistent link: https://www.econbiz.de/10011868232

Equilibrium Consumption and Portfolio Decisions With Stochastic Discount Rate and Time-Varying Utility Functions

Wu, Huiling - 2019

This paper studies a multi-period investment-consumption optimization problem with a stochastic discount rate and a time-varying utility function, which are governed by a Markov-modulated regime switching model. The investment is dynamically reallocated between one risk-free asset and one risky...

Persistent link: https://www.econbiz.de/10012900408

Dynamic trading with uncertain exit time and transaction costs in a general Markov market

Yao, Haixiang; Li, Danping; Wu, Huiling - In: International review of financial analysis 84 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013472813

Effective algorithms for optimal portfolio deleveraging problem with cross impact

Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 36-89

Persistent link: https://www.econbiz.de/10014471144