No.74, Yanta Road, Xi'an, Shaanxi, P.R. China
Xi'an, Shaanxi 710061
Xi'an Jiaotong University (XJTU) - School of Economics and Finance
Hard-to-borrow stock; Option pricing; Short-selling; Buy-in
Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.
Dynamic information acquisition; Strategic trading; Equilibrium asset pricing; Trade disclosure; Fractional noise trading
Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.
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