Suivre
Guiyuan Ma(马贵元)
Guiyuan Ma(马贵元)
School of Economics and Finance, Xi'an Jiaotong University, China
Adresse e-mail validée de xjtu.edu.cn - Page d'accueil
Titre
Citée par
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Année
Dynamic portfolio choice with return predictability and transaction costs
G Ma, CC Siu, SP Zhu
European Journal of Operational Research 278 (3), 976-988, 2019
312019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility
G Ma, SP Zhu
Quantitative Finance 19 (7), 1135-1149, 2019
262019
Optimal portfolio execution problem with stochastic price impact
G Ma, CC Siu, SP Zhu, RJ Elliott
Automatica 112, 108739, 2020
162020
Robust portfolio optimization with multi-factor stochastic volatility
BZ Yang, X Lu, G Ma, SP Zhu
Journal of Optimization Theory and Applications 186, 264–298, 2019
162019
An analytical solution for the HJB equation arising from the Merton problem
SP Zhu, G Ma
International Journal of Financial Engineering 5 (01), 1850008, 2018
142018
Optimal investment and consumption with return predictability and execution costs
G Ma, CC Siu, SP Zhu
Economic Modelling 88, 408-419, 2020
132020
Pricing European call options under a hard-to-borrow stock model
G Ma, SP Zhu, W Chen
Applied Mathematics and Computation 357, 243-257, 2018
132018
Relative performance evaluation for dynamic contracts in a large competitive market
J Han, G Ma, SCP Yam
European Journal of Operational Research 302 (2), 768-780, 2022
122022
Pricing American call options under a hard-to-borrow stock model
G Ma, SP Zhu
European Journal of Applied Mathematics 29 (03), 494-514, 2017
112017
A numerical solution of optimal portfolio selection problem with general utility functions
G Ma, SP Zhu, B Kang
Computational Economics 55, 957-981, 2020
92020
Dynamic mean–variance problem with frictions
A Bensoussan, G Ma, CC Siu, SCP Yam
Finance and Stochastics 26, 267-300, 2022
82022
Portfolio choice with return predictability and small trading frictions
G Ma, CC Siu, SP Zhu
Economic Modelling 111, 105823, 2022
52022
Valuation of general contingent claims with short selling bans: An equal-risk pricing approach
G Ma, SP Zhu, I Guo
International Journal of Theoretical and Applied Finance 25 (04n05), 2250022, 2022
4*2022
Dynamic asset-liability management with frictions
T Yan, J Han, G Ma, CC Siu
Insurance: Mathematics and Economics 111, 57-83, 2023
32023
Strategic trading with information acquisition and long-memory stochastic liquidity
J Han, X Li, G Ma, AP Kennedy
European Journal of Operational Research 308 (1), 480-495, 2022
32022
Revisiting the Merton Problem: from HARA to CARA Utility
G Ma, SP Zhu
Computational Economics 59, 651-686, 2021
32021
Long memory in retail trading activity
J Han, X Li, G Ma, A Kennedy
Available at SSRN 4242634, 2022
22022
Dynamic trading with Markov liquidity switching
G Ma, CC Siu, SCP Yam, Z Zhou
Automatica 155, 111156, 2023
12023
A robust portfolio choice model with price impacts
CC Siu, G Ma, D CHU
Available at SSRN 4541885, 2023
2023
Robust portfolio choice with frictions
D CHU, G Ma, CC Siu, SCP Yam
Available at SSRN 4159192, 2022
2022
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