Guiyuan Ma

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Dynamic trading with Markov liquidity switching Automatica	2023-07-31	Paper
Dynamic asset-liability management with frictions Insurance Mathematics & Economics	2023-07-18	Paper
Strategic trading with information acquisition and long-memory stochastic liquidity European Journal of Operational Research	2023-07-10	Paper
Valuation of general contingent claims with short selling bans: an equal-risk pricing approach International Journal of Theoretical and Applied Finance	2022-09-22	Paper
Relative performance evaluation for dynamic contracts in a large competitive market European Journal of Operational Research	2022-06-08	Paper
Dynamic mean-variance problem with frictions Finance and Stochastics	2022-04-01	Paper
Robust portfolio optimization with multi-factor stochastic volatility Journal of Optimization Theory and Applications	2020-07-14	Paper
Optimal portfolio execution problem with stochastic price impact Automatica	2020-01-20	Paper
Pricing European call options under a hard-to-borrow stock model Applied Mathematics and Computation	2019-11-29	Paper
Optimal investment and consumption under a continuous-time cointegration model with exponential utility Quantitative Finance	2019-09-26	Paper
Dynamic portfolio choice with return predictability and transaction costs European Journal of Operational Research	2019-06-27	Paper
Pricing American call options under a hard-to-borrow stock model European Journal of Applied Mathematics	2018-07-13	Paper

Research outcomes over time

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