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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…