Xiaofei Shi

Carnegie Mellon University - Department of Mathematical Sciences

Pittsburgh, PA 15213-3890

United States

  • Carnegie Mellon University - Department of Mathematical Sciences

SCHOLARLY PAPERS

3

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1,065

TOTAL CITATIONS

9

Scholarly Papers (3)

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1.

Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs

Number of pages: 42 Posted: 29 Jul 2023 Last Revised: 29 Sep 2023
Johannes Muhle-Karbe, James A. Sefton and Xiaofei Shi
Imperial College London - Department of Mathematics, Imperial College London and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 744 (72,497)
Citation 1

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Dynamic Portfolio Optimization, Intertemporal Hedging, Transaction Costs.

2.

An Equilibrium Model for the Cross-Section of Liquidity Premia

Number of pages: 35 Posted: 12 Jan 2021
Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang
Imperial College London - Department of Mathematics, Carnegie Mellon University - Department of Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 163 (381,759)
Citation 4

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asset pricing, Radner equilibrium, transaction costs, liquidity premia

3.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 45 Posted: 03 Jun 2019 Last Revised: 16 Apr 2020
Lukas Gonon, Johannes Muhle-Karbe and Xiaofei Shi
Ludwig Maximilian University of Munich (LMU), Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 158 (392,073)
Citation 4

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning