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- Non-concave utility optimization with portfolio bounds Management Science, forthcoming (with Steven Kou, Shuaijie Qian, and Xiangwei Wan)
- A stochastic representation for nonlocal parabolic PDEs with applications Mathematics of Operations Research, forthcoming (with S. Kou, and C. Yang)
- Robo-advising: a dynamic mean-variance approach Digitial Finance, 3, 81-97 (with Hanqing Jin, Steven Kou, and Yuhong Xu)
- Penalty method for portfolio selection with capital gains tax Mathematical Finance (2021) 31(3), 1013–1055 (with Baojun Bian, Xinfu Chen, and Shuaijie Qian)
- The wisdom of the crowd and prediction markets Journal of Econometrics (2021) 222(1), 561-578 (with Y. Jia and S. Kou)
- Incomplete information and the liquidity premium puzzle Management Science (2021) 67(9), 5703-5729 (with Y. Chen, L. Goncalves-Pinto, J. Xu, and C. Yan)
- A dynamic mean-variance analysis for log returns Management Science (2021) 67(2), 1093–1108 (with H. Jin, S. Kou, and Y. Xu)
- How does illiquidity affect delegated portfolio choice? Journal of Financial and Quantitative Analysis (2019) 54(2), 539-585 (with L. Goncalves-Pinto and J. Xu)
- Opaque bank assets and optimal equity capital Journal of Economic Dynamics and Control (2019) 100(3), 369-394 (with S. Huang, and J. Keppo)
- Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science (2018) 64(5), 2308-2324 (with J. Cai and X. Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with X. Chen)
- Optimal trend following trading rules Mathematics of Operations Research (2016) 41(2), 626-642 (with Z. Yang, Q. Zhang, and Q. Zhu)
- A note on finite horizon optimal investment and consumption with transaction costs Discrete and Continuous Dynamical Systems – Series B (2016) 21(5), 1445-1454 (with Z. Yang)
- Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control (2016) 64(3), 66-81 (with L. Tang and X.Y. Yue)
- Portfolio choice with market closure and implications for liquidity premia Management Science (2016) 62(2), 368-386 (with P.F. Li, H. Liu, and Y. Wang)
- Optimal tax-timing with asymmetric long-term/short-term capital gains tax Review of Financial Studies (2015) 28(9), 2687-2721 (with H. Liu, C. Yang, and Y.F. Zhong)
- Superhedging under ratio constraint Journal of Economic Dynamics and Control (2015) 58(9), 250-264 (with Y. Chen, J. Xu, and M. Xu)
- Hiring, firing and employment protection Journal of Economic Dynamics and Control (2015) 56(7), 55-81 (with J. Keppo and T. Maull)
- Pricing corporate debt with finite maturity and Chapter 11 proceedings Quantitative Finance (2013) 13(12), 1855-1861 (with L. Jiang and J. Lin)
- Characterization of optimal strategy for multi-asset investment and consumption with transaction costs SIAM Journal on Financial Mathematics (2013) 4(1), 857-883 (with X. Chen)
- A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls Mathematical Finance (2013) 23(1), 57-93 (with N. Chen, X. Wan)
- Finite horizon optimal investment and consumption with CARA Utility and proportional transaction costs Stochastic Analysis and Applications to Finance, Essays in Honour of Jia-an Yan, Eds. T. Zhang and X. Y. Zhou, World Scientific, 2012, 39-54 (with Y. Chen and K. Zhao)
- Optimal stock selling based on the global maximum SIAM Journal on Control and Optimization (2012) 50(4), 1804-1822 (with Y.F. Zhong and Z. Yang)
- Leverage management in a bull-bear switching market Journal of Economic Dynamics and Control (2012) 36(10), 1585-1599 (with H.F. Wang and Z. Yang)
- Optimal stock selling/buying strategy with reference to the ultimate average Mathematical Finance (2012) 22(1), 165-184 (with Y.F. Zhong)
- Optimal redeeming strategy of stock loans with finite maturity Mathematical Finance (2011) 21(4), 775-793 (with Z.Q. Xu)
- Optimal decision for selling an illiquid stock Journal of Optimization Theory and Applications (2011) 151(2), 402-417 (with B. Bian, L. Jiang, J. Zhang and Y.F. Zhong)
- Optimal arbitrage strategies on stock index futures under position limits Journal of Futures Market (2011) 31(4), 394-406 (with Y.K. Kwok and Y.F. Zhong)
- Illiquidity, position limits, and optimal investment for mutual funds Journal of Economic Theory (2011) 146(4), 1598-1630 (with H.Q. Jin and H. Liu)
- Trend following trading under a regime switching model SIAM Journal on Financial Mathematics (2010) 1, 780-810 (with Q. Zhang and Q. Zhu)
- Buy low and sell high Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, edited by Chiarella, Carl and Novikov, Alexander, Springer, 2010, 317-334 (with H.Q. Jin, Y.F. Zhong, and X.Y. Zhou)
- Continuous-time mean-variance portfolio selection with proportional transaction costs SIAM Journal on Financial Mathematics (2010) 1(1), 96-125 (with Z.Q. Xu and X.Y. Zhou)
- Penalty methods for continuous-time portfolio selection with proportional transaction costs Journal of Computational Finance (2010) 13(3), 1-31 (with Y.F. Zhong)
- A lattice pricing algorithm for moving-average barrier options Journal of Economic Dynamics and Control (2010) 34(3):542-554 (with P.F. Li and J.E. Zhang)
- Finite horizon optimal investment and consumption with transaction costs, SIAM Journal on Control and Optimization (2009) 48(2), 1134-1154 (with L. Jiang, P.F. Li and F.H. Yi)
- Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem Journal of Differential Equations (2009) 246(4), 1445-1469 (with F.H. Yi)
- Pricing jump risk with utility indifference Quantitative Finance (2009) 9(2):177-186 (with L.X. Wu)
- Guaranteed minimum withdrawal benefit in variable annuities Mathematical Finance (2008) 18(4), 595-611 (with Y.K. Kwok and J. Zong)
- Optimal multiple stopping models of reload options and shout options Journal of Economic Dynamics and Control (2008) 32(7), 2269-2290 (with Y.K. Kwok)
- Intensity-based framework and penalty formulation of optimal stopping problems Journal of Economic Dynamics and Control (2007) 31(12), 3860-3880 (with Y.K. Kwok and H. You)
- A parabolic variational inequality arising from the valuation of strike reset options Journal of Differential Equations (2006) 230(2), 481-501 (with Z. Yang and F.H. Yi)
- Characterization of optimal stopping regions of American path dependent options Mathematical Finance (2006) 16(1), 63-82 (with Y.K. Kwok)
- Optimal policies of call with notice period requirement for American warrants and convertible bonds Asia Pacific Financial Markets (2005) 12(4), 353-373 (with Y.K. Kwok)
- American options with lookback payoff SIAM Journal on Applied Mathematics (2005) 66(1), 206-227 (with Y.K. Kwok)
- Options with combined reset rights on strike and maturity Journal of Economic Dynamics and Control (2005) 29(9), 1495-1515 (with Y.K. Kwok)
- Valuing employee reload options under time vesting requirement Quantitative Finance (2005), 5(1):61-69 (with Y.K. Kwok)
- Quanto lookback options Mathematical Finance (2004) 14(3), 445-467 (with H.Y. Wong and Y.K. Kwok)
- Optimal shouting policies of options with strike reset rights Mathematical Finance (2004) 14(3), 383-401 (with Y.K. Kwok and L.X. Wu)
- Knock-in American options Journal of Futures Markets (2004) 24(2), 179-192 (with Y.K. Kwok)
- Convergence of binomial tree method for European/American path-dependent options SIAM Journal on Numerical Analysis (2004) 42(3), 1094-1109 (with L. Jiang)
- Options with multiple reset rights International Journal of Theoretical and Applied Finance (2003) 6(5), 637-653 (with Y.K. Kwok and L.X. Wu)
- One-state variable binomial models for European-/American-style geometric Asian options Quantitative Finance (2003) 3(4), 288-295
- A closed form solution to perpetual American floating strike lookback option Journal of Computational Finance (winter 2000/2001) 4(2), 63-68
- A modified binomial tree method for currency lookback options Acta Mathematica Sinica (2000) 16(3), 445-454
- Convergence analysis of binomial tree method for American-type path-dependent options Free boundary problems: theory and applications, I (Chiba, 1999) 153-166, GAKUTO Internat. Ser. Math. Sci. Appl., 13, Tokyo, 2000 (with L. Jiang)
- Convergence of binomial tree method for American options Partial differential equations and their applications (Wuhan, 1999) 106-118, World Sci. Publ., River Edge, NJ, 1999 (with L. Jiang)