Xinfu Chen

Independent

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS

239

CITATIONS

0

Scholarly Papers (3)

1.

Characterization of Optimal Strategy for Multi-Asset Investment and Consumption with Transaction Costs

Number of pages: 26 Posted: 15 Nov 2012
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 87 (210,509)

Abstract:

portfolio selection, optimal investment and consumption, transaction costs, multiple risky assets, shape of trading and no-trading regions

2.

Asymptotics for Merton Problem with Capital Gain Taxes and Small Interest Rate

Number of pages: 28 Posted: 13 Dec 2013 Last Revised: 24 Jul 2014
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 63 (186,950)

Abstract:

Optimal investment and consumption, Capital gain tax, Merton problem, Continuous-time, Asymptotic expansion

3.

A Continuous-Exercise Model for American Call Options with Hedging Constraints

Number of pages: 19 Posted: 04 Apr 2016 Last Revised: 16 Apr 2016
Cong Qin, Xinfu Chen, Xin Lai Jr. and Wanghui Yu
National University of Singapore (NUS) - Department of Mathematics, Independent, College of Science and Soochow University
Downloads 0 (430,543)

Abstract:

American call options, continuous exercise, variational inequality, optimal exercise strategy, free boundary