Similar Search Results

Dynamic asset-liability management with frictions

Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung - In: Insurance / Mathematics & economics 111 (2023), pp. 57-83

Persistent link: https://www.econbiz.de/10014316664

Relative performance evaluation for dynamic contracts in a large competitive market

Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip - In: European journal of operational research : EJOR 302 (2022) 2, pp. 768-780

Persistent link: https://www.econbiz.de/10013270175

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

Strategic Trading With Information Acquisition and Long-Memory Stochastic Liquidity

Han, Jinhui; Li, Xiaolong; Ma, Guiyuan; Kennedy, Adrian - 2022

This paper investigates the strategic interaction of information acquisition, information-based dynamic trading, and noise trading patterns, as well as its significant implications on market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly...

Persistent link: https://www.econbiz.de/10014236553