Chenghu Ma

Fudan University - School of Management

Professor of Finance

No. 670, Guoshun Road

Shanghai, 200433

China

  • Fudan University - School of Management

SCHOLARLY PAPERS

8

DOWNLOADS

2,037

TOTAL CITATIONS

20

Scholarly Papers (8)

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1.

Advanced Asset Pricing Theory

Quantitative Finance, Vol. 2
Number of pages: 46 Posted: 29 Mar 2011
Chenghu Ma
Fudan University - School of Management
Downloads 678 (81,660)

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Asset Pricing, Financial Market, Mathematical Finance, Portfolio Risk Management, Stochastic Modeling in Finance, Option Pricing, Term Structure of Interest Rates

2.

Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VAR and C-Var

Number of pages: 49 Posted: 08 Jun 2006 Last Revised: 31 May 2010
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 584 (98,820)
Citation 8

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downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

3.

Revealing the Implied Risk-Neutral MGF with the Wavelet Method

Journal of Economic Dynamics and Control, Vol. 33, 2008
Number of pages: 42 Posted: 26 Feb 2007 Last Revised: 05 Jun 2011
Emmanuel Haven, Xiaoquan Liu, Chenghu Ma and Liya Shen
University of Essex - Department of Accounting, Finance & Management, Essex Business School, Fudan University - School of Management and University of Essex
Downloads 225 (284,775)
Citation 2

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Implied risk-neutral MGF, wavelets, options

4.

Preferences Over Meyer's Location-Scale Family

Number of pages: 45 Posted: 30 Aug 2005
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 176 (357,543)
Citation 9

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location-scale family, utility functions, indifference curves, stochastic dominance,

5.

The Interaction between Security Lending Market and Security Trading Market

First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015
Number of pages: 41 Posted: 04 Aug 2014 Last Revised: 13 Jun 2016
Tiandu Wang, Chenghu Ma and Qian Sun
The People's Bank of China (PBC) - Shanghai Head Office, Fudan University - School of Management and Fudan University
Downloads 141 (430,719)

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Short-selling, Security lending, Market segmentation

6.

w-MPS Risk Aversion and the CAPM

Number of pages: 21 Posted: 09 May 2011
Chenghu Ma and Phelim P. Boyle
Fudan University - School of Management and Wilfrid Laurier University - School of Business & Economics
Downloads 98 (566,763)

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CAPM, w-MPS, Risk Aversion, Infinite & Incomplete Market, Non-Gaussian Returns

7.

W-MPS Risk Aversion and the Shadow CAPM: Theory and Empirical Evidence

Number of pages: 48 Posted: 21 Sep 2016
Lin Huang, Chenghu Ma and Hiroyuki Nakata
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Fudan University - School of Management and University of Tokyo - Faculty of Economics
Downloads 70 (689,780)
Citation 1

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equity premium, w-MPS risk aversion, recursive utility, shadow price

8.

Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options

Applied Economics, 2016, Vol 48, No. 35, 3277-3292.
Number of pages: 38 Posted: 04 May 2016 Last Revised: 29 Jun 2016
Jian Chen and Chenghu Ma
Xiamen University - School of Economics and Fudan University - School of Management
Downloads 65 (716,887)

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Recursive utility, Fanning effect, Jump risk, Option smirk