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Hua He

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hua He & Harry Mamaysky, 2001. "Dynamic Trading Policies With Price Impact," Yale School of Management Working Papers ysm244, Yale School of Management, revised 01 Jan 2002.

    Cited by:

    1. Daniel Hern'andez-Hern'andez & Harold A. Moreno-Franco & Jos'e Luis P'erez, 2017. "Periodic strategies in optimal execution with multiplicative price impact," Papers 1705.00284, arXiv.org, revised May 2018.
    2. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    3. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
    4. Héctor Jasso-Fuentes & Carlos G. Pacheco & Gladys D. Salgado-Suárez, 2023. "A discrete-time optimal execution problem with market prices subject to random environments," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 562-583, October.
    5. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    6. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
    7. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
    8. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
    9. Urban Jermann & Vincenzo Quadrini, 2006. "Financial Innovations and Macroeconomic Volatility," NBER Working Papers 12308, National Bureau of Economic Research, Inc.
    10. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    11. Yamane, Fumihiro, 2010. "Estimation of Consumer Welfare Change from the Revision of Age Criterion for BSE Testing: Hypothetical Revealed Preference Method Using Monitoring Survey Data," Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics), Agricultural Economics Society of Japan (AESJ), vol. 12, pages 1-19.
    12. Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
    13. Isaenko, Sergey, 2023. "Transaction costs, frequent trading, and stock prices," Journal of Financial Markets, Elsevier, vol. 64(C).
    14. Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
    15. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
    16. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
    17. Way, Rupert & Lafond, François & Lillo, Fabrizio & Panchenko, Valentyn & Farmer, J. Doyne, 2019. "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 211-238.
    18. Ingolf Dittmann & Amy Yazhu Li & Stefan Obernberger & Jiaqi Zheng, 2022. "The corporate calendar and the timing of share repurchases and equity compensation," Tinbergen Institute Discussion Papers 21-101/IV, Tinbergen Institute.
    19. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
    20. Yasong Jin, 2017. "Optimal execution strategy and liquidity adjusted value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1147-1157, August.
    21. Zhao, Jingdong & Zhu, Hongliang & Li, Xindan, 2018. "Optimal execution with price impact under Cumulative Prospect Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1228-1237.
    22. Siu, Chi Chung & Guo, Ivan & Zhu, Song-Ping & Elliott, Robert J., 2019. "Optimal execution with regime-switching market resilience," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 17-40.
    23. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
    24. Fabien Guilbaud & Mohamed Mnif & Huy^en Pham, 2010. "Numerical methods for an optimal order execution problem," Papers 1006.0768, arXiv.org.
    25. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
    26. Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
    27. Colaneri, Katia & Eksi, Zehra & Frey, Rüdiger & Szölgyenyi, Michaela, 2020. "Optimal liquidation under partial information with price impact," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1913-1946.
    28. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    29. Jin Fang & Jiacheng Weng & Yi Xiang & Xinwen Zhang, 2022. "Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO," Papers 2206.10736, arXiv.org.
    30. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
    31. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April.
    32. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
    33. Nicole Bauerle & Tamara Goll, 2023. "Nash equilibria for relative investors with (non)linear price impact," Papers 2303.18161, arXiv.org, revised Apr 2024.

  2. Domenico Cuoco & Hua He & Sergei Issaenko, 2001. "Optimal Dynamic rading Strategies with Risk Limits," FAME Research Paper Series rp60, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
    2. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
    3. Jean-David Fermanian & Olivier Scaillet, 2003. "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements," Working Papers 2003-33, Center for Research in Economics and Statistics.
    4. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108.
    5. Nicole Bäuerle & André Mundt, 2009. "Dynamic mean-risk optimization in a binomial model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 219-239, October.
    6. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
    7. Kaplanski, Guy, 2005. "Analytical Portfolio Value-at-Risk," MPRA Paper 80216, University Library of Munich, Germany.
    8. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.

  3. Hua He, 2000. "Modeling Term Structures of Swap Spreads," Yale School of Management Working Papers ysm150, Yale School of Management, revised 01 Mar 2001.

    Cited by:

    1. Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2008. "The Aggregate Demand for Treasury Debt," 2008 Meeting Papers 713, Society for Economic Dynamics.
    2. Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv zw6xq, Center for Open Science.
    3. Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.
    4. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
    5. Marta Gomez Puig, 2005. "Monetary Integration and the Cost of Borrowing," Working Papers in Economics 134, Universitat de Barcelona. Espai de Recerca en Economia.
    6. Keita Nakayama & Akihiko Takahashi, 2007. "A Factor Allocation Approach to Optimal Bond Portfolio," CIRJE F-Series CIRJE-F-494, CIRJE, Faculty of Economics, University of Tokyo.
    7. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series 2003-09, Board of Governors of the Federal Reserve System (U.S.).
    8. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc.
    9. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007. "The Demand for Treasury Debt," NBER Working Papers 12881, National Bureau of Economic Research, Inc.
    10. McBrady, Matthew R. & Schill, Michael J., 2007. "Foreign currency-denominated borrowing in the absence of operating incentives," Journal of Financial Economics, Elsevier, vol. 86(1), pages 145-177, October.
    11. Marta Gómez-Puig, 2005. "The Impact Of Monetary Union On Eu-15 Sovereign Debt Yield Spreads," Working Papers 05-11, Asociación Española de Economía y Finanzas Internacionales.
    12. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
    13. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    14. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    15. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    16. Keita Nakayama & Akihiko Takahashi, 2007. "A Factor Allocation Approach to Optimal Bond Portfolio," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 299-324, December.
    17. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CARF F-Series CARF-F-195, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    18. Keita Nakayama & Akihiko Takahashi, 2008. "A Factor Allocation Approach to Optimal Bond Portfolio," CIRJE F-Series CIRJE-F-547, CIRJE, Faculty of Economics, University of Tokyo.
    19. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CIRJE F-Series CIRJE-F-697, CIRJE, Faculty of Economics, University of Tokyo.
    20. Keiichi Tanaka, 2003. "Heterogeneous Yield Curves and Basis Swaps," Discussion Papers in Economics and Business 03-12, Osaka University, Graduate School of Economics.
    21. Keita Nakayama & Akihiko Takahashi, 2006. "A Factor Allocation Approach to Optimal Bond Portfolio (Revised in March 2008, Published in "Asia-Pacific Financial Markets", Vol.14-4, 299-324, 2007. )," CARF F-Series CARF-F-076, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

  4. Hua He and Akihiko Takahashi., 1995. "A Variable Reduction Technique for Pricing Average-Rate Options," Research Program in Finance Working Papers RPF-249, University of California at Berkeley.

    Cited by:

    1. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
    3. Kenji Kamizono & Takeaki Kariya & Regina Liu & Teruo Nakatsuma, 2004. "A New Control Variate Estimator for an Asian Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 143-160, June.

  5. Hua He William P. Keirstead and Joachim Rebholz., 1995. "Double Lookbacks," Research Program in Finance Working Papers RPF-248, University of California at Berkeley.

    Cited by:

    1. Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
    2. Alexander Lipton & Ioana Savescu, 2012. "A structural approach to pricing credit default swaps with credit and debt value adjustments," Papers 1206.3104, arXiv.org.
    3. Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
    4. Wong, Hoi Ying & Chan, Chun Man, 2007. "Lookback options and dynamic fund protection under multiscale stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 357-385, May.
    5. Alexander Lipton & Ioana Savescu, 2012. "Pricing credit default swaps with bilateral value adjustments," Papers 1207.6049, arXiv.org.
    6. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Alexander Lipton & Andrey Gal & Andris Lasis, 2014. "Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1899-1922, November.
    8. Aureo de Paula, 2004. "Inference in a Synchronization Game with Social Interactions," PIER Working Paper Archive 07-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 May 2007.
    9. Pavel V. Shevchenko & Pierre Del Moral, 2014. "Valuation of Barrier Options using Sequential Monte Carlo," Papers 1405.5294, arXiv.org, revised Jul 2015.
    10. Patras, Frédéric, 2006. "A reflection principle for correlated defaults," Stochastic Processes and their Applications, Elsevier, vol. 116(4), pages 690-698, April.
    11. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    12. Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 1-18, March.
    13. Vadim Kaushansky & Alexander Lipton & Christoph Reisinger, 2017. "Transition probability of Brownian motion in the octant and its application to default modeling," Papers 1801.00362, arXiv.org, revised May 2018.
    14. Abínzano, Isabel & Seco, Luis & Escobar, Marcos & Olivares, Pablo, 2009. "Single and Double Black-Cox: Two approaches for modelling debt restructuring," Economic Modelling, Elsevier, vol. 26(5), pages 910-917, September.

  6. Hua He & Jiang Wang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," NBER Working Papers 5010, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
    2. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    3. Cantillon, Estelle & Slechten, Aurélie, 2018. "Information Aggregation in Emissions Markets with Abatement," CEPR Discussion Papers 13343, C.E.P.R. Discussion Papers.
    4. Yang, Jian & Tong, Meng & Yu, Ziliang, 2021. "Housing market spillovers through the lens of transaction volume: A new spillover index approach," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 351-378.
    5. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
    6. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
    7. Giovanni Cespa & Xavier Vives, 2012. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(2), pages 539-580.
    8. Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
    9. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
    10. Zhou, Chunsheng, 1998. "Dynamic portfolio choice and asset pricing with differential information," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1027-1051, May.
    11. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
    12. Kao, Erin H. & Fung, Hung-Gay, 2012. "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 195-209.
    13. Goetzmann, William & Massa, Massimo, 2004. "Dispersion of Opinion and Stock Returns," CEPR Discussion Papers 4819, C.E.P.R. Discussion Papers.
    14. Dan Bernhardt & P. Seiler & B. Taub, 2010. "Speculative dynamics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(1), pages 1-52, July.
    15. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    16. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    17. Jiao, Peiran & Veiga, André & Walther, Ansgar, 2020. "Social media, news media and the stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 63-90.
    18. Benjamin Blau & Tyler J. Brough, 2012. "Concentrated short‐selling activity: bear raids or contrarian trading?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 187-203, June.
    19. Walker, Todd B. & Whiteman, Charles H., 2007. "Multiple equilibria in a simple asset pricing model," Economics Letters, Elsevier, vol. 97(3), pages 191-196, December.
    20. Walker, Todd B., 2007. "How equilibrium prices reveal information in a time series model with disparately informed, competitive traders," Journal of Economic Theory, Elsevier, vol. 137(1), pages 512-537, November.
    21. Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
    22. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," CSEF Working Papers 174, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    23. Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).
    24. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014. "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
    25. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    26. Chan, Kalok & Covrig, Vicentiu, 2012. "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 793-817.
    27. Chen, Gong-meng & Firth, Michael & Rui, Oliver M, 2001. "The Dynamic Relation between Stock Returns, Trading Volume, and Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 153-173, August.
    28. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    29. Giovanni Cespa, 2000. "Short-term investment and equilibrium multiplicity," Economics Working Papers 520, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2002.
    30. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
    31. Markus K Brunnermeier & Michael Sockin & Wei Xiong, 2022. "China’s Model of Managing the Financial System [Beauty Contests and Iterated Expectations in Asset Markets]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(6), pages 3115-3153.
    32. Franklin Allen & Stephen Morris & Hyun Song Shin, 2003. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews 391749000000000553, www.najecon.org.
    33. Escribano, Álvaro & Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de Economía.
    34. Giovanni Cespa & Xavier Vives, 2011. "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series 3390, CESifo.
    35. Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
    36. Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
    37. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    38. Warren Bailey & Yuan Gao & Connie X. Mao, 2004. "Business, Government, and the Information Environment: Stock Trading and Earnings Shocks in China, Indonesia, and Singapore," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 165-195, May.
    39. Péter Kondor, 2009. "The more we know, the less we agree: Higher-order expectations and public announcements," 2009 Meeting Papers 1018, Society for Economic Dynamics.
    40. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
    41. Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York.
    42. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
    43. Shih-Chuan Tsai, 2014. "Individuals’ Trading Prior to Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1124-1156, November.
    44. Kwon, Ki-Yeol & Kish, Richard J., 2002. "A comparative study of technical trading strategies and return predictability: an extension of Brock, Lakonishok, and LeBaron (1992) using NYSE and NASDAQ indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 611-631.
    45. Arturo Bris, 2005. "Do Insider Trading Laws Work?," European Financial Management, European Financial Management Association, vol. 11(3), pages 267-312, June.
    46. Michel Habib & Narayan Naik, 1996. "Models of information aggregation in financial markets: a review," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 159-166.
    47. Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
    48. Salva, Carolina, 2003. "Foreign listings, corporate governance, and equity valuations," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 463-485.
    49. Saffi, Pedro, 2008. "Differences of opinion, information and the timing of trades," IESE Research Papers D/747, IESE Business School.
    50. Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper 2004-6, Federal Reserve Bank of Atlanta.
    51. Massa, Massimo & Simonov, Andrei, 2005. "Is learning a dimension of risk?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2605-2632, October.
    52. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    53. Scott Brown & Jose J. Cao-Alvira & Eric Powers, 2013. "Do Investment Newsletters Move Markets?," Financial Management, Financial Management Association International, vol. 42(2), pages 315-338, June.
    54. Giovanni Cespa, 2003. "Giffen Goods and Market Making," CSEF Working Papers 97, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    55. Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
    56. Gupta, Suman & Das, Debojyoti & Hasim, Haslifah & Tiwari, Aviral Kumar, 2018. "The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach," Finance Research Letters, Elsevier, vol. 27(C), pages 91-98.
    57. Nimalendran, M. & Ritter, Jay R. & Zhang, Donghang, 2007. "Do today's trades affect tomorrow's IPO allocations?," Journal of Financial Economics, Elsevier, vol. 84(1), pages 87-109, April.
    58. Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2014. "Heterogeneous Beliefs and Tests of Present Value Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 1137-1163.
    59. Yeyati, Eduardo Levy & Schmukler, Sergio L. & Van Horen, Neeltje, 2007. "Emerging market liquidity and crises," Policy Research Working Paper Series 4445, The World Bank.
    60. Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
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    2. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
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  8. Hua He and Chi-fu Huang., 1991. "Efficient Consumption-Portfolio Policies," Research Program in Finance Working Papers RPF-215, University of California at Berkeley.

    Cited by:

    1. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.

  9. Hua He., 1991. "Optimal Consumption-Portfolio Policies: A Convergence from Discrete to Continuous Time Models," Research Program in Finance Working Papers RPF-209, University of California at Berkeley.

    Cited by:

    1. David M. Kreps & Walter Schachermayer, 2019. "Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets," Papers 1907.11424, arXiv.org, revised Feb 2020.
    2. Wong, K.C. & Yam, S.C.P. & Zeng, J., 2019. "Mean-risk portfolio management with bankruptcy prohibition," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 153-172.
    3. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    4. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    5. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(1), pages 21-41, August.
    6. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
    7. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    8. Friedrich Hubalek & Walter Schachermayer, 2021. "Convergence of optimal expected utility for a sequence of binomial models," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1315-1331, October.
    9. Leitner, Johannes, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Papers 00/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
    10. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.

  10. Hua He and Hayne Leland., 1991. "Equilibrium Asset Price Processes," Research Program in Finance Working Papers RPF-221, University of California at Berkeley.

    Cited by:

    1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
    2. Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2022. "Ramsey rule with forward/backward utility for long-term yield curves modeling," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 375-414, June.
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    4. Mrad Mohamed, 2020. "Mixture of consistent stochastic utilities, and a priori randomness," Post-Print hal-01728554, HAL.
    5. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
    6. John H. Cochrane & Francis Longstaff, 2004. "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers 126, Society for Economic Dynamics.
    7. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    8. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Theodoros Diasakos, 2008. "Comparative Statics of Asset Prices," Carlo Alberto Notebooks 72, Collegio Carlo Alberto, revised 2011.
    10. Lüders, Erik & Franke, Günter, 2005. "Return predictability and stock market crashes in a simple rational expectations model," CoFE Discussion Papers 05/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    11. Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
    12. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley.
    13. Evan Gatev & Stephen Ross, 2000. "Rebels, Conformists, Contrarians And Momentum Traders," Yale School of Management Working Papers ysm137, Yale School of Management, revised 01 Jan 2003.
    14. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
    15. Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2020. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Post-Print hal-00974815, HAL.
    16. Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
    17. Lüders, Erik & Schröder, Michael, 2004. "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19, ZEW - Leibniz Centre for European Economic Research.
    18. Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
    19. Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006 331, Society for Computational Economics.
    20. Diasakos, Theodoros M, 2013. "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers 2013-91, Scottish Institute for Research in Economics (SIRE).
    21. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    22. John Knight & Stephen Satchell, 2005. "A Re-Examination of Sharpe's Ratio for Log-Normal Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 87-100.
    23. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.
    24. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
    25. Dejian Tian & Weidong Tian, 2016. "Comparative statics under κ-ambiguity for log-Brownian asset prices," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(4), pages 361-378, December.
    26. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
    27. Amado Peiro, 2002. "Skewness in individual stocks at different investment horizons," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 139-146.
    28. Renato França & Raquel M. Gaspar, 2023. "On the Bias of the Unbiased Expectation Theory," Mathematics, MDPI, vol. 12(1), pages 1-20, December.
    29. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    30. Jorge Barros Luís, 2000. "The Estimation of Risk Premium Implicit in Oil Prices," Working Papers w200002, Banco de Portugal, Economics and Research Department.
    31. Mark Cassano, 2002. "Disagreement and equilibrium option trading volume," Review of Derivatives Research, Springer, vol. 5(2), pages 153-179, May.
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    33. Masaaki Fukasawa & Takashi Sato & Jun Sekine, 2023. "Backward stochastic difference equations on lattices with application to market equilibrium analysis," Papers 2312.10883, arXiv.org.
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    43. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
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  11. Hua He., 1990. "Convergence from Discrete to Continuous Time Contingent Claims Prices," Research Program in Finance Working Papers RPF-199, University of California at Berkeley.

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    1. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
    2. Cuny, Charles J. & Jorion, Philippe, 1995. "Valuing executive stock options with endogenous departure," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 193-205, September.
    3. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
    4. Valeri Zakamouline, 2005. "A unified approach to portfolio optimization with linear transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(2), pages 319-343, November.
    5. Dirk Sierag & Bernard Hanzon, 2018. "Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex," Annals of Operations Research, Springer, vol. 266(1), pages 101-127, July.
    6. Hyong-chol O & Song-gon Jang & Il-Gwang Jon & Mun-Chol Kim & Gyong-Ryol Kim & Hak-Yong Kim, 2015. "The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients," Papers 1505.04573, arXiv.org, revised Aug 2018.
    7. Jimmy E. Hilliard, 2014. "Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 101-110, January.
    8. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
    9. Jirô Akahori, 2005. "A discrete Itô calculus approach to He’s framework for multi-factor discrete markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 273-287, September.
    10. Valeri Zakamouline, 2003. "American Option Pricing with Transaction Costs," Finance 0311012, University Library of Munich, Germany.
    11. Mark Britten-Jones & Anthony Neuberger, 1996. "Arbitrage pricing with incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(4), pages 347-363.
    12. Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, University Library of Munich, Germany, revised 29 Nov 1998.
    13. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
    14. Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group.
    15. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
    16. Yuri Kifer, 2020. "Error estimates for discrete approximations of game options with multivariate diffusion asset prices," Papers 2012.01257, arXiv.org, revised Dec 2021.
    17. Péter Juhász & Nóra Felföldi-Szűcs, 2022. "Financing Cooperative Supply Chain Members—The Bank’s Perspective," Risks, MDPI, vol. 10(7), pages 1-17, July.
    18. Babbs, Simon, 2000. "Binomial valuation of lookback options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1499-1525, October.
    19. Knaut, Andreas & Madlener, Reinhard & Rosen, Christiane & Vogt, Christian, 2012. "Effects of Temperature Uncertainty on the Valuation of Geothermal Projects: A Real Options Approach," FCN Working Papers 11/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    20. J.W. Nieuwenhuis & M.H. Vellekoop, 2004. "Weak convergence of tree methods, to price options on defaultable assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 87-107, December.
    21. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 835-872.
    22. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    23. Zakamouline, Valeri I., 2006. "European option pricing and hedging with both fixed and proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 1-25, January.
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    25. Moyen, Nathalie & Slade, Margaret & Uppal, Raman, 1996. "Valuing risk and flexibility : A comparison of methods," Resources Policy, Elsevier, vol. 22(1-2), pages 63-74.
    26. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
    27. Damgaard, Anders, 2006. "Computation of reservation prices of options with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 415-444, March.
    28. Valeri Zakamouline, 2003. "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance 0311009, University Library of Munich, Germany.
    29. Leisen, Dietmar P. J., 1999. "The random-time binomial model," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1355-1386, September.
    30. Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
    31. Carlos de Lamare Bastian-Pinto & Alexandre Paula Silva Ramos & Luiz de Magalhães Ozorio & Luiz Eduardo Teixeira Brandão, 2015. "Uncertainty and Flexibility in the Brazilian Beef Livestock Sector: the Value of the Confinement Option," Brazilian Business Review, Fucape Business School, vol. 12(6), pages 100-120, November.
    32. David G. Luenberger, 2012. "Pricing dynamic binary variables and their derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 451-464, April.
    33. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    34. Warren J. Hahn & James S. Dyer, 2011. "A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes," Decision Analysis, INFORMS, vol. 8(3), pages 220-232, September.
    35. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
    36. Hranaiova, Jana, 2000. "Delivery Options In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Conference, April 17-18 2000, Chicago, Illinois 18936, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    37. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
    38. Julien Grépat & Yuri Kabanov, 2021. "On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 167-187, January.
    39. Hyong-chol O & Song-San Jo, 2019. "Variational inequality for perpetual American option price and convergence to the solution of the difference equation," Papers 1903.05189, arXiv.org.
    40. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
    41. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, University Library of Munich, Germany, revised 28 Apr 2004.
    42. Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, 2006. "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra.
    43. Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
    44. Çağın Ararat & Zachary Feinstein, 2021. "Set-valued risk measures as backward stochastic difference inclusions and equations," Finance and Stochastics, Springer, vol. 25(1), pages 43-76, January.
    45. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
    46. Luenberger, David G., 1998. "Products of trees for investment analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1403-1417, August.
    47. Hranaiova, Jana & Tomek, William G., 2000. "Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Annual meeting, July 30-August 2, Tampa, FL 21732, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    48. J. X. Jiang & R. H. Liu & D. Nguyen, 2016. "A Recombining Tree Method For Option Pricing With State-Dependent Switching Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-26, March.
    49. Hahn, Warren J. & Dyer, James S., 2008. "Discrete time modeling of mean-reverting stochastic processes for real option valuation," European Journal of Operational Research, Elsevier, vol. 184(2), pages 534-548, January.
    50. Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
    51. Zachary Feinstein & Andreas Sojmark, 2022. "Endogenous Distress Contagion in a Dynamic Interbank Model," Papers 2211.15431, arXiv.org, revised Sep 2023.
    52. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers 230, Society for Economic Dynamics.
    53. Leitner, Johannes, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Papers 00/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
    54. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
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    59. Tianyang Wang & James Dyer & Warren Hahn, 2015. "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, vol. 18(3), pages 263-289, October.
    60. Slade, Margaret E., 2001. "Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments," Journal of Environmental Economics and Management, Elsevier, vol. 41(2), pages 193-233, March.
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  12. Hua He and Henri F. Pags., 1990. "Consumption and Portfolio Decisions with Labor Income and Borrowing Constraints," Research Program in Finance Working Papers RPF-200, University of California at Berkeley.

    Cited by:

    1. Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1992. "A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints," Cowles Foundation Discussion Papers 1018, Cowles Foundation for Research in Economics, Yale University.

  13. Hua He., 1990. "Moment Approximation and Estimation of Diffusion Models of Asset Prices," Research Program in Finance Working Papers RPF-193, University of California at Berkeley.

    Cited by:

    1. Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics 0305002, University Library of Munich, Germany, revised 16 Feb 2004.
    2. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
    3. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.

  14. Hua He., 1989. "Convergence from Discrete to Continuous Time Financial Model," Research Program in Finance Working Papers RPF-190, University of California at Berkeley.

    Cited by:

    1. Qiao, Gaoxiu & Yao, Qiang, 2015. "Weak convergence of equity derivatives pricing with default risk," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 46-56.
    2. Ernst Eberlein, 1992. "On Modeling Questions In Security Valuation," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 17-32, January.
    3. Fabio Mercurio & Wolfgang J. Runggaldier, 1993. "Option Pricing For Jump Diffusions: Approximations and Their Interpretation," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 191-200, April.

  15. He, Hua. & Pindyck, Robert S., 1989. "Investments in flexible production capacity," Working papers 2102-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. Michele Moretto & Luca Di Corato, 2009. "Investing in Biogas: Timing, Technological Choice and the Value of Flexibility from Inputs Mix," Working Papers 2009.84, Fondazione Eni Enrico Mattei.
    2. Kuno J.M. Huisman & Peter M. Kort, 2015. "Strategic capacity investment under uncertainty," RAND Journal of Economics, RAND Corporation, vol. 46(2), pages 376-408, June.
    3. N. Letifi & Jean-Luc Prigent, 2014. "On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options," Post-Print hal-03679708, HAL.
    4. Rahul R. Marathe & Sarah M. Ryan, 2009. "Capacity expansion under a service‐level constraint for uncertain demand with lead times," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(3), pages 250-263, April.
    5. Chronopoulos, Michail & Hagspiel, Verena & Fleten, Stein–Erik, 2015. "Stepwise Investment and Capacity Sizing under Uncertainty," Discussion Papers 2015/10, Norwegian School of Economics, Department of Business and Management Science.
    6. Erkka Näsäkkälä & Stein‐Erik Fleten, 2005. "Flexibility and technology choice in gas fired power plant investments," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 371-393.
    7. Nagy, Roel L.G. & Hagspiel, Verena & Kort, Peter M., 2021. "Green capacity investment under subsidy withdrawal risk," Energy Economics, Elsevier, vol. 98(C).
    8. Kumar, Ram L., 1995. "An options view of investments in expansion-flexible manufacturing systems," International Journal of Production Economics, Elsevier, vol. 38(2-3), pages 281-291, March.
    9. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    10. Bardia Kamrad & Ricardo Ernst, 2001. "An Economic Model for Evaluating Mining and Manufacturing Ventures with Output Yield Uncertainty," Operations Research, INFORMS, vol. 49(5), pages 690-699, October.
    11. Suárez, Freddy F. & Cusumano, Michael A., 1954- & Fine, Charles H., 1991. "Flexibility and performance : a literature critique and strategic framework," Working papers 3298-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    12. Blum, Helcio & Legey, Luiz F.L., 2012. "The challenging economics of energy security: Ensuring energy benefits in support to sustainable development," Energy Economics, Elsevier, vol. 34(6), pages 1982-1989.
    13. Abadie, Luis María & Chamorro Gómez, José Manuel, 2005. "Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant," IKERLANAK 6483, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
    14. Nagy, Roel L.G. & Fleten, Stein-Erik & Sendstad, Lars H., 2023. "Don’t stop me now: Incremental capacity growth under subsidy termination risk," Energy Policy, Elsevier, vol. 172(C).
    15. Wen, X. & Kort, P.M. & Talman, A.J.J., 2015. "Volume Flexibility and Capacity Investment : A Real Options Approach," Other publications TiSEM 1264ebd1-5c19-496f-a11c-6, Tilburg University, School of Economics and Management.
    16. Luca Di Corato & Natalia Montinari, 2013. "Flexible Waste Management under Uncertainty," Working Papers 2013.03, Fondazione Eni Enrico Mattei.
    17. Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
    18. Huang, Ming-Guan, 2009. "Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand," European Journal of Operational Research, Elsevier, vol. 198(3), pages 867-877, November.
    19. Pindyck, Robert, 1989. "Irreversibility, uncertainty, and investment," Policy Research Working Paper Series 294, The World Bank.
    20. Lukas, Elmar & Spengler, Thomas Stefan & Kupfer, Stefan & Kieckhäfer, Karsten, 2017. "When and how much to invest? Investment and capacity choice under product life cycle uncertainty," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1105-1114.
    21. Dalila B. M. M. Fontes & Luís Camões & Fernando A. C. C. Fontes, 2007. "Real Options using Markov Chains: an application to Production Capacity Decisions," FEP Working Papers 246, Universidade do Porto, Faculdade de Economia do Porto.
    22. Fontes, Dalila B.M.M., 2008. "Fixed versus flexible production systems: A real options analysis," European Journal of Operational Research, Elsevier, vol. 188(1), pages 169-184, July.
    23. William Novshek & Lynda Thoman, 1999. "Demand for Customized Products, Production Flexibility, and Price Competition," CIG Working Papers FS IV 99-37, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    24. Santos, Lúcia & Soares, Isabel & Mendes, Carla & Ferreira, Paula, 2014. "Real Options versus Traditional Methods to assess Renewable Energy Projects," Renewable Energy, Elsevier, vol. 68(C), pages 588-594.
    25. Jyh-Bang Jou & Tan (Charlene) Lee, 2011. "Mutually exclusive investment with technical uncertainty," Applied Economics, Taylor & Francis Journals, vol. 43(30), pages 4723-4728.
    26. Jan A. Van Miegham, 1997. "Investment Strategies for Flexible Resources," Discussion Papers 1201, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    27. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 714-729, May.
    28. Jeffrey R. Campbell & Jonas D. M. Fisher, 1998. "Organizational flexibility and employment dynamics at young and old plants," Working Paper Series WP-98-24, Federal Reserve Bank of Chicago.
    29. Luca Macedoni & Mingzhi (Jimmy) Xu, 2022. "Flexibility And Productivity: Toward The Understanding Of Firm Heterogeneity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(3), pages 1055-1108, August.
    30. CARLISS Y. Baldwin & Kim B. Clark, 1992. "Capabilities And Capital Investment: New Perspectives On Capital Budgeting," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(2), pages 67-82, June.
    31. Morellec, Erwan, 2001. "Asset liquidity, capital structure, and secured debt," Journal of Financial Economics, Elsevier, vol. 61(2), pages 173-206, August.
    32. Alejandro Mosiño, 2012. "Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 13-27, January.
    33. Huberts, Nick F.D. & Rossi Silveira, Rafael, 2023. "How economic depreciation shapes the relationship of uncertainty with investments’ size & timing," International Journal of Production Economics, Elsevier, vol. 260(C).
    34. Wang, Tan, 2001. "Equilibrium with new investment opportunities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1751-1773, November.
    35. Oliveira, A. & Couto, G. & Pimentel, P., 2021. "Uncertainty and flexibility in infrastructure investments: Application of real options analysis to the Ponta Delgada airport expansion," Research in Transportation Economics, Elsevier, vol. 90(C).
    36. Gonzalo Cortazar & Eduardo S. Schwartz & Marcelo Salinas, 1998. "Evaluating Environmental Investments: A Real Options Approach," Management Science, INFORMS, vol. 44(8), pages 1059-1070, August.
    37. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    38. Huberts, N.F.D. & Dawid, H. & Huisman, K.J.M. & Kort, P.M., 2019. "Entry deterrence by timing rather than overinvestment in a strategic real options framework," European Journal of Operational Research, Elsevier, vol. 274(1), pages 165-185.
    39. M. I. M. Wahab & C. -G. Lee & P. Sarkar, 2023. "A real options approach to value manufacturing flexibilities with regime-switching product demand," Flexible Services and Manufacturing Journal, Springer, vol. 35(3), pages 864-895, September.
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    128. Rafael Serrano & Camilo Castillo, 2018. "ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach," Papers 1810.08466, arXiv.org, revised Aug 2021.
    129. Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1992. "A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints," Cowles Foundation Discussion Papers 1018, Cowles Foundation for Research in Economics, Yale University.
    130. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
    131. Keita Owari, 2011. "A Note on Utility Maximization with Unbounded Random Endowment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 89-103, March.
    132. Yang, Yunhong, 2000. "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 135-153, March.
    133. Matoussi, Anis & Xing, Hao, 2018. "Convex duality for Epstein-Zin stochastic differential utility," LSE Research Online Documents on Economics 82519, London School of Economics and Political Science, LSE Library.
    134. Paolo Guasoni & Lóránt Nagy & Miklós Rásonyi, 2021. "Young, timid, and risk takers," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1332-1356, October.
    135. Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192.
    136. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
    137. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.
    138. Robert Jarrow, 2017. "A Capm With Trading Constraints And Price Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-39, December.
    139. Zhiwu Chen, 2001. "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 297-323, November.

Articles

  1. H. He, 2009. "A note on time-ordered classification," Biometrika, Biometrika Trust, vol. 96(1), pages 248-248.

    Cited by:

    1. Beullens, Patrick & Janssens, Gerrit K., 2014. "Adapting inventory models for handling various payment structures using net present value equivalence analysis," International Journal of Production Economics, Elsevier, vol. 157(C), pages 190-200.

  2. He, Hua & Mamaysky, Harry, 2005. "Dynamic trading policies with price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 891-930, May.
    See citations under working paper version above.
  3. Domenico Cuoco & Hua He, 2001. "Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 265-296, November.

    Cited by:

    1. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
    2. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
    3. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
    4. Robert Jarrow & Siguang Li, 2021. "Concavity, stochastic utility, and risk aversion," Finance and Stochastics, Springer, vol. 25(2), pages 311-330, April.
    5. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Dong Chul Won, 2019. "A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 367-396, January.
    7. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers 1352, Society for Economic Dynamics.
    9. Jaroslav Borovička, 2020. "Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences," Journal of Political Economy, University of Chicago Press, vol. 128(1), pages 206-251.
    10. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
    11. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
    12. YiLi Chien & Harold L. Cole & Hanno Lustig, 2014. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy," NBER Working Papers 20328, National Bureau of Economic Research, Inc.
    13. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
    14. Yili Chien & Harold Cole & Hanno Lustig, 2016. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 215-239, April.
    15. Shen, Yang & Siu, Tak Kuen, 2013. "Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 757-768.
    16. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    17. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
    18. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
    19. Uppal, Raman & Bhamra, Harjoat Singh, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers.
    20. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.

  4. Hua He & Akihiko Takahashi, 2000. "A Variable Reduction Technique for Pricing Average‐rate Options," International Review of Finance, International Review of Finance Ltd., vol. 1(2), pages 123-142, June.
    See citations under working paper version above.
  5. Hua He & William P. Keirstead & Joachim Rebholz, 1998. "Double Lookbacks," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 201-228, July.
    See citations under working paper version above.
  6. He, Hua & Wang, Jiang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
    See citations under working paper version above.
  7. He, Hua & Modest, David M, 1995. "Market Frictions and Consumption-Based Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 103(1), pages 94-117, February.
    See citations under working paper version above.
  8. He Hua & Huang Chi-fu, 1994. "Consumption-Portfolio Policies: An Inverse Optimal Problem," Journal of Economic Theory, Elsevier, vol. 62(2), pages 257-293, April.

    Cited by:

    1. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    2. Gollier, Christian & Zeckhauser, Richard J, 2002. "Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 195-212, May.
    3. Dejian Tian & Weidong Tian, 2016. "Comparative statics under κ-ambiguity for log-Brownian asset prices," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(4), pages 361-378, December.
    4. Sigrid Källblad & Jan Obłój & Thaleia Zariphopoulou, 2018. "Dynamically consistent investment under model uncertainty: the robust forward criteria," Finance and Stochastics, Springer, vol. 22(4), pages 879-918, October.
    5. Phillip Monin, 2014. "On a dynamic adaptation of The Distribution Builder approach to investment decisions," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 749-760, May.
    6. Phillip Monin, 2013. "On a dynamic adaptation of the Distribution Builder approach to investment decisions," Papers 1301.0907, arXiv.org.
    7. Boyle, Phelim & Tian, Weidong, 2008. "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 303-315, December.
    8. Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org, revised Nov 2014.
    9. Nicole El Karoui & Mohamed Mrad, 2013. "An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE," Post-Print hal-00477381, HAL.

  9. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
    See citations under working paper version above.
  10. He, Hua & Pages, Henri F, 1993. "Labor Income, Borrowing Constraints, and Equilibrium Asset Prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(4), pages 663-696, October.

    Cited by:

    1. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    2. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    3. Wang, Ting & Young, Virginia R., 2012. "Maximizing the utility of consumption with commutable life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 352-369.
    4. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
    5. Abraham Lioui & Patrice Poncet, 2001. "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers 2001-10, Bar-Ilan University, Department of Economics.
    6. Zvi Bodie & Jonathan Treussard & Paul S. Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston.
    7. Masahiko Egami & Hideki Iwaki, 2007. "An optimal life insurance policy in the investment-consumption problem in an incomplete market," Papers 0801.0195, arXiv.org, revised May 2011.
    8. Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
    9. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
    10. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
    11. Yuzhe Zhang & Jianjun Miao, 2014. "A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment," 2014 Meeting Papers 650, Society for Economic Dynamics.
    12. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
    13. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
    14. Doriana Ruffino, 2007. "Resuscitating The Businessman Risk: A Rationale For Familiarity-Based Portfolios," Boston University - Department of Economics - Working Papers Series WP2007-037, Boston University - Department of Economics.
    15. Fehle, Frank, 2004. "A note on transaction costs and the existence of derivatives markets," Journal of Economics and Business, Elsevier, vol. 56(1), pages 63-70.
    16. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Other publications TiSEM fe8a8df6-455f-4624-af10-9, Tilburg University, School of Economics and Management.
    17. Ernst-Ludwig VON THADDEN, 2000. "An Incentive Problem in the Dynamic Theory of Banking," FAME Research Paper Series rp25, International Center for Financial Asset Management and Engineering.
    18. Morten Tolver Kronborg, 2014. "Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee," Risks, MDPI, vol. 2(2), pages 1-24, May.
    19. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
    20. Dybvig, Philip H. & Liu, Hong, 2010. "Lifetime consumption and investment: Retirement and constrained borrowing," Journal of Economic Theory, Elsevier, vol. 145(3), pages 885-907, May.
    21. Stavros Panageas, 2007. "Optimal Retirement Benefit Guarantees," 2007 Meeting Papers 172, Society for Economic Dynamics.
    22. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society.
    23. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    24. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
    25. Barucci, Emilio & Biffis, Enrico & Marazzina, Daniele, 2023. "Health insurance, portfolio choice, and retirement incentives," European Journal of Operational Research, Elsevier, vol. 307(2), pages 910-921.
    26. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
    27. Guodong Ding & Daniele Marazzina, 2021. "Effect of Labour Income on the Optimal Bankruptcy Problem," Papers 2106.15426, arXiv.org.
    28. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
    29. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
    30. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    31. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    32. Jang, Bong-Gyu & Park, Seyoung & Rhee, Yuna, 2013. "Optimal retirement with unemployment risks," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3585-3604.
    33. Jeon, Junkee & Park, Kyunghyun, 2023. "Optimal job switching and retirement decision," Applied Mathematics and Computation, Elsevier, vol. 443(C).
    34. Ashley Davey & Michael Monoyios & Harry Zheng, 2021. "Duality for optimal consumption with randomly terminating income," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1275-1314, October.
    35. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.
    36. Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
    37. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    38. Wahid Faidi & Hanen Mezghanni & Mohamed Mnif, 2019. "Expected Utility Maximization Problem Under State Constraints and Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 1123-1152, December.
    39. Xiang Gao & Cody Hyndman & Traian A. Pirvu & Petar Jevti'c, 2022. "Optimal annuitization post-retirement with labor income," Papers 2202.04220, arXiv.org.
    40. Hugonnier, Julien & Prieto, Rodolfo, 2015. "Asset pricing with arbitrage activity," Journal of Financial Economics, Elsevier, vol. 115(2), pages 411-428.
    41. Liya Liu & Yingjie Niu & Yuanping Wang & Jinqiang Yang, 2020. "Optimal consumption with time-inconsistent preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(3), pages 785-815, October.
    42. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
    43. Ding, Guodong & Marazzina, Daniele, 2022. "The impact of liquidity constraints and cashflows on the optimal retirement problem," Finance Research Letters, Elsevier, vol. 49(C).
    44. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
    45. Ashley Davey & Michael Monoyios & Harry Zheng, 2020. "Duality for optimal consumption with randomly terminating income," Papers 2011.00732, arXiv.org, revised May 2021.
    46. Agnirup Sarkar, 2020. "Market capitalization and growth with nominal and real rigidities: the case of emerging economies," Indian Economic Review, Springer, vol. 55(2), pages 165-198, December.
    47. Hyeng Keun Koo & Kum-Hwan Roh & Yong Hyun Shin, 2021. "Optimal consumption/investment and retirement with necessities and luxuries," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 281-317, October.
    48. Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin, 2008. "Optimal Portfolio, Consumption‐Leisure And Retirement Choice Problem With Ces Utility," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 445-472, July.
    49. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
    50. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
    51. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
    52. Yumi Oum & Shmuel S. Oren, 2010. "Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market," Decision Analysis, INFORMS, vol. 7(1), pages 107-122, March.
    53. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.
    54. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    55. Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192.
    56. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
    57. Junkee Jeon & Hyeng Keun Koo & Kyunghyun Park, 2018. "Optimal Insurance with Limited Commitment in a Finite Horizon," Papers 1812.11669, arXiv.org, revised Jan 2019.

  11. He, Hua & Pindyck, Robert S., 1992. "Investments in flexible production capacity," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 575-599.
    See citations under working paper version above.
  12. He, Hua, 1991. "Optimal consumption-portfolio policies: A convergence from discrete to continuous time models," Journal of Economic Theory, Elsevier, vol. 55(2), pages 340-363, December.
    See citations under working paper version above.
  13. Hua He & Neil D. Pearson, 1991. "Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 1-10, July.

    Cited by:

    1. Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Post-Print hal-02373296, HAL.
    2. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
    3. Paul S. Willen & Adam Hale Shapiro & Kristopher Gerardi, 2008. "Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures," 2008 Meeting Papers 345, Society for Economic Dynamics.
    4. Romain Deguest & Lionel Martellini & Vincent Milhau, 2018. "A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems," Management Science, INFORMS, vol. 64(9), pages 4333-4347, September.
    5. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
    6. Ma, Qingyin & Stachurski, John & Toda, Alexis Akira, 2022. "Unbounded dynamic programming via the Q-transform," Journal of Mathematical Economics, Elsevier, vol. 100(C).
    7. Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
    8. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
    9. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
    10. A. Cadenillas & S. P. Sethi, 1997. "Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients," Journal of Optimization Theory and Applications, Springer, vol. 93(2), pages 243-272, May.
    11. Wiesemann, Thomas, 1996. "Managing a value-preserving portfolio over time," European Journal of Operational Research, Elsevier, vol. 91(2), pages 274-283, June.
    12. Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.
    13. David Criens & Lars Niemann, 2022. "Robust utility maximization with nonlinear continuous semimartingales," Papers 2206.14015, arXiv.org, revised Aug 2023.
    14. X. Chao & K. Lai & Shou-Yang Wang & Mei Yu, 2005. "Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs," Annals of Operations Research, Springer, vol. 135(1), pages 211-221, March.
    15. David Criens & Lars Niemann, 2023. "Robust utility maximization with nonlinear continuous semimartingales," Mathematics and Financial Economics, Springer, volume 17, number 5, June.
    16. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
    17. Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
    18. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
    19. Andreas Fuster & Paul S. Willen, 2010. "Insuring consumption using income-linked assets," Working Papers 10-1, Federal Reserve Bank of Boston.
    20. André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.
    21. Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
    22. Czichowsky, Christoph Johannes & Peyre, Rémi & Schachermayer, Walter & Yang, Junjian, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 85230, London School of Economics and Political Science, LSE Library.
    23. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    24. Ziehaus Christina, 2012. "A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 269-280, August.
    25. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    26. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    27. Jér^me Detemple & Marcel Rindisbacher, 2005. "Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 539-568, October.
    28. Czichowsky, Christoph & Schachermayer, Walter, 2017. "Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion," LSE Research Online Documents on Economics 67689, London School of Economics and Political Science, LSE Library.
    29. Barbachan, José Fajardo, 2000. "Optimal Consumption and Investment with Hyperbolic Lévy Motion," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(1), May.
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