1 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2012
Optimal Portfolio Selection under Concave Price Impact
Jin Ma, Qingshuo Song, Jing Xu +1
In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concav…
cs.NI2010★ 1 cited
Consensus over a Random Network Generated by i.i.d. Stochastic Matrices
Qingshuo Song, Guanrong Chen, Daniel W. C. Ho
Our goal is to find a necessary and sufficient condition on the consensus over a random network, generated by i.i.d. stochastic matrices. We show that the consensus problem in thre…
q-fin.PM2010★ 1 cited
Utility Maximization of an Indivisible Market with Transaction Costs
Qingshuo Song, G. Yin, Chao Zhu
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region…