42 citations · 144 across the 29 of their papers we have counts for
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q-fin.PM2011★ 1 cited
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Tim Leung, Qingshuo Song, Jie Yang
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete…
q-fin.PR2011★ 18 cited
Default Swap Games Driven by Spectrally Negative Levy Processes
Masahiko Egami, Tim S. T. Leung, Kazutoshi Yamazaki
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the…