7 citations · 18 across the 9 of their papers we have counts for
11 papers
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
The Cox-Ingersoll-Ross process under volatility uncertainty
Bahar Akhtari, Hanwu Li
Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case o…
Stochastic representation under g-expectation and applications: the discrete time case
Miryana Grigorova, Hanwu Li
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as…
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple…
Optimal Multiple Stopping Problems under g-expectation
Hanwu Li
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is model…