3 citations · 10 across the 28 of their papers we have counts for
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q-fin.MF2018
Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems
Jingtang Ma, Jie Xing, Harry Zheng
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variatio…
q-fin.PM2018
Turnpike Property and Convergence Rate for an Investment and Consumption Model
Baojun Bian, Harry Zheng
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy…