主要论文
工作论文：
20. Chi Chung Siu*, Guiyuan Ma, and Yawen Zheng (2025). Optimal consumption-portfolio rules with informational and trading frictions.
19. Dantong Chu*, Guiyuan Ma, Chi Chung Siu, and Sheung Chi Phillip Yam (2025). Robust portfolio choice with with stochastic factors and market frictions, Automatica, Accepted (SCI,EI检索期刊).
18. Dong Yan, Xin-Jie Huang, Guiyuan Ma, Xin-Jiang He *, (2025). Pricing American options with exogenous and endogenous transaction costs, Computers and Mathematics with Applications, Accepted (SCI,EI检索期刊).
发表论文：
17. Jinhui Han, Xiaolong Li, Guiyuan Ma* and Adrian Patrick Kennedy (2023). Strategic trading with information acquisition and long-memory stochastic liquidity, European Journal of Operational Research 308(1): 480-495 (IF:6.4, SCI检索期刊, ABS 四星).
16 Guiyuan Ma, Chi Chung Siu*, Sheung Chi Phillip Yam and Zeyu Zhou (2023). Dynamic trading with Markov liquidity switching, Automatica, 155, 111156. (IF:6.4, SCI,EI检索期刊).
15. Tingjin Yan, Jinhui Han, Guiyuan Ma and Chi Chung Siu* (2023). Dynamic asset-liability management with frictions, Insurance: Mathematics and Economics，111, 57-83 (IF:1.9, SCI,SSCI检索期刊, ABS 三星 ).
14. Alain Bensoussan, Guiyuan Ma，Chi Chung Siu and Sheung Chi Phillip Yam* (2022). Dynamic mean-variance problem with frictions, Finance and Stochastics 26, 267–300 . (IF:2.095, SSCI, SCI双检索期刊, ABS 三星).
13. Jinhui Han, Guiyuan Ma* and Sheung Chi Phillip Yam (2022). Relative performance evaluation for dynamic contracts in a large competitive market, European Journal of Operational Research，302(2): 768-780 (IF:6.4, SCI检索期刊, ABS 四星 ).
12. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2022). Portfolio choice with return predictability and small trading frictions, Economic Modelling 111, 105823. (IF:4.7, SSCI 检索期刊, ABS 二星 ) .
11. Guiyuan Ma*, Song-Ping Zhu and Ivan Guo (2022). Valuation of general contingent claims with short selling bans: an equal-risk pricing framework, International Journal of Theoretical and Applied Finance 25(04n05), 2250022. (IF:1.096, ESCI 检索期刊， ABS 二星 ) .
10. Guiyuan Ma* and Song-Ping Zhu (2022). Revisiting the Merton Problem: from HARA to CARA Utility, Computational Economics. 59:651-686 (IF:2.0, SSCI, SCI双检索期刊, ABS 一星).
9. Ben-Zhang Yang, Xiaoping Lu*, Guiyuan Ma and Song-Ping Zhu (2020). Robust portfolio optimization with multi-factor stochastic volatility , Journal of Optimization Theory and Applications 186:264–298 . (IF:2.249, SCI检索期刊, ABS 三星 ).
8. Guiyuan Ma*, Chi Chung Siu, Song-Ping Zhu and Robert J. Elliott (2020). Optimal portfolio execution problem under stochastic price impact , Automatica 112, 108739. (IF:6.4, SCI,EI检索期刊).
7. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2020). Optimal investment and consumption with return predictability and execution costs, Economic Modelling 88:408-419. (IF:4.7, SSCI 检索期刊, ABS 二星 ) .
6. Guiyuan Ma*, Song-Ping Zhu and Boda Kang (2020). A numerical solution of optimal portfolio selection problem with general utility functions, Computational Economics 55:957-981. (IF:2.0, SSCI, SCI双检索期刊, ABS 一星).
5. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2019). Dynamic portfolio selection with return predictability and transaction costs, European Journal of Operational Research 278(03): 976-988. (IF:6.4, SCI检索期刊, ABS 四星 ).
4. Guiyuan Ma* and Song-Ping Zhu (2019). Optimal investment and consumption under a continuous-timecointegration model with exponential utility, Quantitative Finance 19(07): 1135-1149. (IF:2.222, SCI, SSCI双检索期刊, ABS 三星).
3. Guiyuan Ma*, Song-Ping Zhu and Wenting Chen (2019). Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation 357: 243-257. (IF:4.397, SCI检索期刊).
2. Guiyuan Ma* and Song-Ping Zhu (2018). Pricing American call options under a hard-to-borrow stock model, European Journal of Applied Mathematics 29(03): 494-514. (IF:1.413 , SCI检索期刊).
1. Song-Ping Zhu* and Guiyuan Ma (2018). An analytical solution for the HJB equation arising from the Merton Problem. International Journal of Financial Engineering. 5(01) 1850008. (IF: 1.429 JCR 经济分区: 137/219 ESCI 检索期刊, ABS 二星)
