107 citations · 108 across the 6 of their papers we have counts for
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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…
q-fin.PM2012★ 1 cited
Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
Baojun Bian, Harry Zheng
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concav…
q-fin.PM2012
Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
Baojun Bian, Nan Wu, Harry Zheng
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on…