Chi-fu Huang

Long Term Capital Management

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

A Verification Theorem in General Equilibrium Model of Asset Prices

STOCHASTIC ANALYSIS, CONTROL, OPTIMIZATION, AND APPLICATIONS: A VOLUME IN HONOR OF WENDELL FLEMING, 1996
Posted: 29 Aug 2009
Chi-fu Huang, Michael I. Taksar and Steven H. Zhu
Long Term Capital Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and Banc of America Merrill Lynch

Abstract:

Optimal Control, Differential Games, Stochastic Calculation and Optimization

Optimal Consumption and Portfolio Rules with Durability and Habit Formation

Posted: 01 Nov 2000
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Optimal Consumption and Portfolio Rules with Durability and Habit Formation

Journal of Economic Dynamics and Control, Vol. 21, Nos. 2-3, 1997
Posted: 27 Sep 2005
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics

Posted: 29 Oct 2000
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics

Journal of Economic Dynamics and Control, Vol 21, issue 2-3, 1997
Posted: 27 Sep 2005
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

4.

Turnpike Behavior of Long-Term Investments

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 11 Dec 1998
Chi-fu Huang and Thaleia Zariphopoulou
Long Term Capital Management and University of Texas at Austin - Red McCombs School of Business

Abstract: