Gu Wang

Worcester Polytechnic Institute

100 Institute Road

Worcester, MA 01609

United States

SCHOLARLY PAPERS

9

DOWNLOADS

1,603

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Consumption in Incomplete Markets

Number of pages: 30 Posted: 20 Mar 2014 Last Revised: 17 Jun 2018
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 347 (164,776)
Citation 2

Abstract:

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portfolio choice, consumption, incomplete markets, power utility

2.

Hedge and Mutual Funds' Fees and the Separation of Private Investments

Number of pages: 34 Posted: 23 Aug 2012 Last Revised: 26 Oct 2014
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 202 (283,195)
Citation 3

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hedge funds, portfolio choice, high-water marks, performance fees, management fees

3.

Should Commodity Investors Follow Commodities' Prices?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-8
Number of pages: 27 Posted: 24 Jul 2018 Last Revised: 25 Sep 2019
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Torino and Worcester Polytechnic Institute
Downloads 187 (303,610)
Citation 2

Abstract:

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portfolio choice, commodities, filtering, intertemporal hedging, long-run

4.

Performance Fees with Stochastic Benchmark

Number of pages: 30 Posted: 19 Jul 2017 Last Revised: 01 Mar 2021
Gu Wang
Worcester Polytechnic Institute
Downloads 185 (306,526)

Abstract:

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Hedge Funds, Portfolio Choice, Performance Fees, High-Water Marks, Stochastic Benchmark

5.

Sharing Profits in the Sharing Economy

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-3
Number of pages: 22 Posted: 07 Nov 2018 Last Revised: 02 Mar 2020
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 181 (312,567)

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optimal taxation, principal-agent, heterogeneous skill

6.

Quantile Hedging in a Semi-Static Market with Model Uncertainty

Number of pages: 28 Posted: 21 Aug 2014 Last Revised: 25 Sep 2017
Erhan Bayraktar and Gu Wang
University of Michigan at Ann Arbor - Department of Mathematics and Worcester Polytechnic Institute
Downloads 149 (369,146)

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Quantile hedging, Model Uncertainty, Semi-static Hedging, Neyman-Pearson Lemma

7.

Fund Managers' Competition for Investment Flows based on Relative Performance

Number of pages: 31 Posted: 26 Jun 2020 Last Revised: 24 Mar 2023
Gu Wang and Jiaxuan Ye
Worcester Polytechnic Institute and Worcester Polytechnic Institute
Downloads 136 (396,845)

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Mutual Funds, Portfolio Choice, Relative Performance, Fund Flows, Equilibrium

8.

Consumption and Investment with Interest Rate Risk

Number of pages: 26 Posted: 08 Feb 2017 Last Revised: 22 Jul 2018
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 112 (459,961)
Citation 1

Abstract:

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portfolio choice, consumption, stochastic interest rate, incomplete market, power utility

9.

Optimal Fee Structure of Variable Annuities

Number of pages: 25 Posted: 07 May 2021
Gu Wang and Bin Zou
Worcester Polytechnic Institute and University of Connecticut - Department of Mathematics
Downloads 104 (485,253)
Citation 1

Abstract:

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Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations