Gechun Liang : Citation Profile


Are you Gechun Liang?

Oxford University

4

H index

0

i10 index

34

Citations

RESEARCH PRODUCTION:

4

Articles

16

Papers

RESEARCH ACTIVITY:

   10 years (2010 - 2020). See details.
   Cites by year: 3
   Journals where Gechun Liang has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 11 (24.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli708
   Updated: 2020-10-17    RAS profile: 2020-05-19    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Gechun Liang.

Is cited by:

Lütkebohmert, Eva (4)

He, Xuezhong (2)

Itkin, Andrey (2)

Lapteacru, Ion (1)

Dermine, jean (1)

Cites to:

Sethi, Suresh (5)

Wang, Xingchun (4)

Leland, Hayne (4)

Riedel, Frank (4)

merton, robert (4)

Rogers, Leonard (3)

Duffie, Darrell (3)

Epstein, Larry (3)

White, Alan (2)

Stulz, René (2)

Klein, Peter (2)

Main data


Where Gechun Liang has published?


Journals with more than one article published# docs
Finance and Stochastics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15

Recent works citing Gechun Liang (2020 and 2019)


YearTitle of citing document
2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion. (2019). Zariphopoulou, Thaleia ; Strub, Moris S ; He, Xue Dong . In: Papers. RePEc:arx:papers:1904.01745.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2020The convergence rate from discrete to continuous optimal investment stopping problem. (2020). Sun, Dingqian. In: Papers. RePEc:arx:papers:2004.14627.

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2020Forward utilities and Mean-field games under relative performance concerns. (2020). Platonov, Vadim ; Reis, Goncalo Dos. In: Papers. RePEc:arx:papers:2005.09461.

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2020A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. (2020). Liang, Gechun. In: Papers. RePEc:arx:papers:2005.10660.

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2020Duality Theory for Robust Utility Maximization. (2020). Kupper, Michael ; Bartl, Daniel ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2007.08376.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2019Debt rollover-induced local volatility model. (2019). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0736-3.

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2019Do bank activities and funding strategies of foreign and state‐owned banks have a differential effect on risk‐taking in Central and Eastern Europe?. (2019). Lapteacru, Ion. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:27:y:2019:i:2:p:541-576.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2019A utility adjusted newsvendor model with stochastic demand. (2019). Ivanov, Dmitry ; He, Jian ; Alavifard, Farzad ; Jie, Ferry. In: International Journal of Production Economics. RePEc:eee:proeco:v:211:y:2019:i:c:p:154-165.

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2020A Kesten-type bound for sums of randomly weighted subexponential random variables. (2020). Chen, Yiqing. In: Statistics & Probability Letters. RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219303074.

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Works by Gechun Liang:


YearTitleTypeCited
2010A Functional Approach to FBSDEs and Its Application in Optimal Portfolios In: Papers.
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paper0
2015A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk In: Papers.
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paper5
2015Funding Liquidity, Debt Tenor Structure, and Creditors Belief: An Exogenous Dynamic Debt Run Model In: Papers.
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paper6
2014Pseudo Linear Pricing Rule for Utility Indifference Valuation In: Papers.
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paper2
2014Pseudo linear pricing rule for utility indifference valuation.(2014) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 2
article
2015Dynkin Game of Convertible Bonds and Their Optimal Strategy In: Papers.
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2015Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints In: Papers.
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2016Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE In: Papers.
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paper4
2017An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior In: Papers.
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paper3
2019An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.(2019) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 3
article
2018Exponential utility maximization and indifference valuation with unbounded payoffs In: Papers.
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paper1
2018Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs In: Papers.
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paper2
2019Dynkin games with Poisson random intervention times In: Papers.
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paper0
2018Analysis of the optimal exercise boundary of American put option with delivery lags In: Papers.
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paper0
2019Optimal investment and consumption with forward preferences and uncertain parameters In: Papers.
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paper4
2020Systems of ergodic BSDEs arising in regime switching forward performance processes In: Papers.
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paper1
2020Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes In: Papers.
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paper0
2019An ergodic BSDE approach to entropic risk measure and its large time behavior In: Post-Print.
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paper1
2014A Multiperiod Bank Run Model for Liquidity Risk In: Review of Finance.
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article5
2011THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL In: Asia-Pacific Journal of Operational Research (APJOR).
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article0

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