19 citations · 43 across the 20 of their papers we have counts for
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q-fin.TR2013
Asymptotic Glosten Milgrom equilibrium
Cheng Li, Hao Xing
This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider's models, the insider's opti…
math.AP2013
Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient
Scott Robertson, Hao Xing
This paper studies the large time behavior of solutions to semi-linear Cauchy problems with quadratic nonlinearity in gradients. The Cauchy problem considered has a general state s…
q-fin.PM2013
Robust Portfolios and Weak Incentives in Long-Run Investments
Paolo Guasoni, Johannes Muhle-Karbe, Hao Xing
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and no…