27 citations · 30 across the 2 of their papers we have counts for
3 papers
Non-Concave Utility Maximization with Transaction Costs
Shuaijie Qian, Chen Yang
This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification pri…
An Equilibrium Model for the Cross-Section of Liquidity Premia
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state…
Multi-Array 5G V2V Relative Positioning: Performance Bounds
Anastasios Kakkavas, Mario H. Castañeda García, Richard A. Stirling-Gallacher +1
We study the performance bounds of vehicle-to-vehicle (V2V) relative positioning for vehicles with multiple antenna arrays. The Cramér-Rao bound for the estimation of the relative…