6 citations · 11 across the 4 of their papers we have counts for
4 papers
Portfolio Optimization under Shortfall Risk Constraint
Oliver Janke, Qinghua Li
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild co…
Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki, Ioannis Karatzas, Qinghua Li
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is refor…
Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
Qinghua Li
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven b…
Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana, Zorana Grbac, Monique Jeanblanc +1
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time . Und…