4 papers
Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
Kexin Chen, Kyunghyun Park, Hoi Ying Wong
In a continuous-time economy, this paper formulates the Epstein-Zin preference for discounted dividends received by an investor as an Epstein-Zin singular control utility. We intro…
Duality in optimal consumption--investment problems with alternative data
Kexin Chen, Hoi Ying Wong
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regi…
Optimal Expansion of Business Opportunity
Ling Wang, Kexin Chen, Mei Choi Chiu +1
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expan…
Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
Social distancing has been the only effective way to contain the spread of an infectious disease prior to the availability of the pharmaceutical treatment. It can lower the infecti…