The Chinese University of Hong Kong. Department of Statistics
Optimal allocation, Comonotonicity, Convex function, Stop-loss
Stackelberg differential game, Nash differential game, feedback solution, cooperative advertising
cooperative advertising, sales-advertising dynamics, the Sethi model, differential games, linear and isoelastic demands.
Convex ordering, Karlin-Novikoff-Stoyan-Taylor crossing conditions, Value-at-Risk, Average Value-at-Risk, Optimal insurance decision problem
Advertising; Dynamic Optimization; Product Failure; Planned Obsolescence; Durable Goods
Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium
Dynamic Trading; Markovian Jump System; Matrix Riccati Differential System; Markov Switching; Temporary and Permanent Price Impacts; Price Distortions
Finance; Robust portfolio selection; Return predictability; Transient and permanent price impacts; Coupled differential Riccati system.
production-inventory system, optimal replenishment rate, lost sales, Lévy subordinator, Fourier-Cosine method
Dynamic Sales-Advertising Model, Sethi Advertising Model, Advertising Policy, Generalized Sethi Model, Integrated Marketing Communications.
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Sharpe ratios, equality
Calendar effects; Real estate securities index; Reality check test; Superior predictive test; Market efficiency
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