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Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning (2024)
Journal Article
Luo, P., Wang, H., & Yang, Z. (2024). Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning. Journal of Risk and Insurance, 91(3), 567-598. https://doi.org/10.1111/jori.12485

We develop a dynamic investment model with loan guarantees wherein insurers face information disadvantages and learn about borrower quality. Borrowers signal their qualities through investment timing, which is characterized by the investment threshol... Read More about Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning.

Tension in the data environment: How organisations can meet the challenge (2021)
Journal Article
Meadows, M., Merendino, A., Dibb, S., Garcia-Perez, A., Hinton, M., Papagiannidis, S., Pappas, I., & Wang, H. (2022). Tension in the data environment: How organisations can meet the challenge. Technological Forecasting and Social Change, 175, Article 121315. https://doi.org/10.1016/j.techfore.2021.121315

Big Data is becoming ubiquitous - widely applied across organisations, industry sectors and society. However, the opportunities and risks it presents are not yet fully understood. In this paper we identify and explore the tensions that Big Data can c... Read More about Tension in the data environment: How organisations can meet the challenge.

Tension in big data using machine learning: Analysis and applications (2020)
Journal Article
Wang, H., Yao, Y., & Salhi, S. (2020). Tension in big data using machine learning: Analysis and applications. Technological Forecasting and Social Change, 158, Article 120175. https://doi.org/10.1016/j.techfore.2020.120175

© 2020 Elsevier Inc. The access of machine learning techniques in popular programming languages and the exponentially expanding big data from social media, news, surveys, and markets provide exciting challenges and invaluable opportunities for organi... Read More about Tension in big data using machine learning: Analysis and applications.

Machine learning solutions to challenges in finance: An application to the pricing of financial products (2020)
Journal Article
Gan, L., Wang, H., & Yang, Z. (2020). Machine learning solutions to challenges in finance: An application to the pricing of financial products. Technological Forecasting and Social Change, 153, Article 119928. https://doi.org/10.1016/j.techfore.2020.119928

© 2020 Elsevier Inc. The recent fast development of machine learning provides new tools to solve challenges in many areas. In finance, average options are popular financial products among corporations, institutional investors, and individual investor... Read More about Machine learning solutions to challenges in finance: An application to the pricing of financial products.

Investment timing and optimal capital structure under liquidity risk (2017)
Journal Article
Wang, H., Xu, Q., & Yang, J. (2018). Investment timing and optimal capital structure under liquidity risk. European Journal of Finance, 24(11), 889-908. https://doi.org/10.1080/1351847x.2017.1356342

© 2017 Informa UK Limited, trading as Taylor & Francis Group. Deterioration in debt market liquidity reduces debt values and affects firms' decisions. Considering such risk, we develop an investment timing model and obtain analytic solutions. We ca... Read More about Investment timing and optimal capital structure under liquidity risk.

Investment and financing for SMEs with a partial guarantee and jump risk (2015)
Journal Article
Luo, P., Wang, H., & Yang, Z. (2016). Investment and financing for SMEs with a partial guarantee and jump risk. European Journal of Operational Research, 249(3), 1161-1168. https://doi.org/10.1016/j.ejor.2015.09.032

© 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved. We consider a small- and medium-sized enterprise (SME) with a f... Read More about Investment and financing for SMEs with a partial guarantee and jump risk.

Dynamic portfolio optimization with transaction costs and state-dependent drift (2014)
Journal Article
Palczewski, J., Poulsen, R., Schenk-Hoppé, K. R., & Wang, H. (2015). Dynamic portfolio optimization with transaction costs and state-dependent drift. European Journal of Operational Research, 243(3), 921-931. https://doi.org/10.1016/j.ejor.2014.12.040

© 2015 Elsevier B.V. All rights reserved. The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an e... Read More about Dynamic portfolio optimization with transaction costs and state-dependent drift.

Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk (2014)
Journal Article
Wang, H., Yang, Z., & Zhang, H. (2015). Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk. European Journal of Operational Research, 241(3), 863-871. https://doi.org/10.1016/j.ejor.2014.09.013

© 2014 Elsevier B.V.All rights reserved. We consider a risk-averse entrepreneur who invests in a project with idiosyncratic risk. In contrast to the literature, we assume the entrepreneur is unable to get a loan from a bank directly because of the lo... Read More about Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk.

Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk (2014)
Journal Article
Song, D., Wang, H., & Yang, Z. (2014). Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk. Journal of Mathematical Economics, 51(1), 1-11. https://doi.org/10.1016/j.jmateco.2014.02.009

The paper considers the option of an investor to invest in a project that generates perpetual cash flows, of which the drift parameter is unobservable. The investor invests in a liquid financial market to partially hedge cash flow risk and estimation... Read More about Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk.