Xinfu Chen

Independent

SCHOLARLY PAPERS

5

DOWNLOADS

595

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (5)

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 212 (203,614)
Citation 2

Abstract:

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

2.

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 136 (296,207)
Citation 7

Abstract:

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

3.

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 National University of Singapore (NUS)
Downloads 121 (323,057)
Citation 2

Abstract:

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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 98 (372,905)

Abstract:

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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 28 (653,716)
Citation 1

Abstract:

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