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A discontinuous mispricing model under asymmetric information

Buckley, Winston S.; Long, Hongwei - In: European journal of operational research : EJOR 243 (2015) 3, pp. 944-955

Persistent link: https://www.econbiz.de/10010513805

m-Double Poisson Lévy markets

Buckley, Winston S.; Long, Hongwei; Perera, Sandun - In: Quantitative finance 20 (2020) 10, pp. 1663-1679

Persistent link: https://www.econbiz.de/10012295630

A jump model for fads in asset prices under asymmetric information

Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European journal of operational research : EJOR 236 (2014) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10010361742

Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps

Perera, Sandun; Buckley, Winston; Long, Hongwei - In: Risk management approaches in engineering applications, (pp. 213-238). 2018

Persistent link: https://www.econbiz.de/10011870013

An approximation scheme for impulse control with random reaction periods

Perera, Sandun; Long, Hongwei - In: Operations research letters 45 (2017) 6, pp. 585-591

Persistent link: https://www.econbiz.de/10011782985

Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets

Buckley, Winston; Long, Hongwei; Marshall, Mario - In: European journal of operational research : EJOR 252 (2016) 2, pp. 676-686

Persistent link: https://www.econbiz.de/10011457778

Prioritising data items for business analytics : framework and application to human resources

Buckley, Winston; Long, Hongwei; Marshall, Mario - In: European journal of operational research : EJOR 252 (2016) 2, pp. 687-698

Persistent link: https://www.econbiz.de/10011457782

A mispricing model of stocks under asymmetric information

Buckley, Winston S.; Brown, Garfield O.; Marshall, Mario - In: European Journal of Operational Research 221 (2012) 3, pp. 584-592

We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean-reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log-linear utilities...

Persistent link: https://www.econbiz.de/10010597635

A mispricing model of stocks under asymmetric information

Buckley, Winston S.; Brown, Garfield O.; Marshall, Mario - In: European journal of operational research : EJOR 221 (2012) 3, pp. 584-593

Persistent link: https://www.econbiz.de/10009976940

On the sensitivity of the Black capital asset pricing model to the market portfolio

Buckley, Winston S.; Harris, Oneil; Perera, Sandun - In: Risk and decision analysis 4 (2013) 3, pp. 177-189

Persistent link: https://www.econbiz.de/10010190158