Xinfu Chen

Independent

SCHOLARLY PAPERS

5

DOWNLOADS

756

SSRN CITATIONS

12

CROSSREF CITATIONS

2

Scholarly Papers (5)

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1.

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 The Hong Kong Polytechnic University
Downloads 242 (216,563)
Citation 2

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

2.

Penalty Method for Portfolio Selection with Capital Gains Tax

Number of pages: 46 Posted: 24 Aug 2019 Last Revised: 05 Sep 2019
Baojun Bian, Xinfu Chen, Min Dai and Shuaijie Qian
Tongji University, Independent, The Hong Kong Polytechnic University and Department of Mathematics, HKUST
Downloads 168 (301,942)
Citation 6

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3.

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 The Hong Kong Polytechnic University
Downloads 156 (321,543)
Citation 7

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

4.

Asymptotic Analysis of Long-Term Investment with Two Illiquid and Correlated Assets

Number of pages: 33 Posted: 22 Mar 2021 Last Revised: 22 Jun 2022
Xinfu Chen, Min Dai, Wei Jiang and Cong Qin
Independent, The Hong Kong Polytechnic University, Hong Kong University of Science and Technology and Soochow University
Downloads 145 (341,363)

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5.

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 and Wanghui Yu
Soochow University, Independent, College of Science and Soochow University
Downloads 45 (686,377)
Citation 1

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