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and Applied Analysis 3 where k and σ 1 are positive constants, and η(t) is driven by another CIR model dη (t) = (b − aη (t)) dt + σ 2 √η (t)dW 2 (t) , η (0) = η 0 > 0, (4) where b, a, and σ 2 are… (More)

- Hao Cheng Chang
- 2015

This paper applies dynamic programming principle and Legendre transform to study a dynamic asset allocation problem with liability process and stochastic interest rate model, where interest rate is… (More)

and Applied Analysis 3 Assume that the initial capital of an investor is given byw 0 and the initial liability is denoted by l 0 ; then the initial surplus isw 0 −l 0 , which is denoted by x 0 .The… (More)

- Y. C. Lien, Edward Yi Chang, +6 authors Paul T. Shen
- 2003

- Hao Cheng Chang, Kai Chang
- 24th Chinese Control and Decision Conference…
- 2012

This paper is concerned with an investment and consumption problem in an incomplete market and takes quadratic utility function for our analysis. We firstly transform an incomplete market into… (More)

We consider an investment and consumption problem under the constant elasticity of variance (CEV)model, which is an extension of the original Merton’s problem. In the proposedmodel, stock price… (More)

- 城地 茂, Bowen Liu, Hao Cheng Chang
- 2011