FinTech
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A dynamic mean-variance analysis for log returns Management Science (2021) 67(2), 1093–1108 (with Hanqing Jin, Steven Kou, and Yuhong Xu) The model can be used for robo-advising; see Robo-advising: a dynamic mean-variance approach Digital Finance, 3, 81-97
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Designing stable coins (with Yizhou Cao, Steven Kou, Lewei Li, and Chen Yang)
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The wisdom of the crowd and prediction markets Journal of Econometrics (2021) 222(1), 561-578 (with Yanwei Jia and Steven Kou)
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From Hotelling to Nakamoto: How miners liquidate their Bitcoins (with Wei Jiang, Steven Kou, and Cong Qin)
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Learning equilibrium mean-variance strategy (with Yuchao Dong and Yanwei Jia)
Capital structure
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A q theory of internal capital markets (with Xavier Giroud, Wei Jiang, and Neng Wang)
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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 Nan Chen and Xiangwei Wan)
Household financing
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Optimal consumption and investment with cointegrated stock and housing markets, presented at WFA 2020 (with Yingshan Chen, Shan Huang, and Hong Liu)
Nonconcave portfolio optimization
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Non-concave utility optimization with portfolio bounds Management Science, forthcoming (with Steven Kou, Shuaijie Qian, and Xiangwei Wan)
- How does illiquidity affect delegated portfolio choice? Journal of Financial and Quantitative Analysis (2019) 54(2), 539-585 (with L. Goncalves-Pinto and Jing Xu)
Portfolio selection with capital gains tax
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Optimal tax-timing strategy with transaction costs (with Yaoting Lei and Hong Liu)
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Penalty method for portfolio selection with capital gains tax Mathematical Finance (2021) 31(3), 1013–1055 (with Baojun Bian, Xinfu Chen, and Shuaijie Qian)
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Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science (2018) 64(5), 2308-2324 (with Jiatu Cai and Xinfu Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with Xinfu Chen)
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Optimal tax-timing with asymmetric long-term/short-term capital gains tax Review of Financial Studies (2015) 28(9), 2687-2721(with Hong Liu, Chen Yang, and Yifei Zhong)
Portfolio selection with transaction costs
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Incomplete information and the liquidity premium puzzle Management Science (2021) 67(9), 5703-5729 (with Yingshan Chen, L. Goncalves-Pinto, Jing Xu, and Cheng Yan)
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Portfolio choice with market closure and implications for liquidity premia Management Science (2016) 62(2), 368-386 (with Peifan Li, Hong Liu, and Yajun Wang)
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Characterization of optimal strategy for multi-asset investment and consumption with transaction costs SIAM Journal on Financial Mathematics (2013) 4(1), 857-883. (with Xinfu Chen)
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Illiquidity, position limits, and optimal investment for mutual funds Journal of Economic Theory (2011) 146, 1598-1630 (with Hanqing Jin and Hong Liu)
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Penalty methods for continuous-time portfolio selection with proportional transaction costs Journal of Computational Finance (2010) 13(3), 1-31 (with Yifei Zhong)
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Continuous-time mean-variance portfolio selection with proportional transaction costs SIAM Journal on Financial Mathematics (2010) 1(1), 96-125 (with Zuoquan Xu and Xunyu Zhou)
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Finite horizon optimal investment and consumption with transaction costs SIAM Journal on Control and Optimization (2009) 48(2), 1134-1154 (with Lishang Jiang, Peifan Li and Fahuai Yi)
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Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem Journal of Differential Equations (2009) 246, 1445-1469 (with Fahuai Yi)
Trend following strategy
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Optimal trend following trading rules Mathematics of Operations Research (2016) 41(2), 626-642 (with Zhou Yang, Qing Zhang and Qiji Zhu)
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Trend following trading under a regime switching model SIAM Journal on Financial Mathematics (2010) 1, 780-810. (with Qing Zhang and Qiji Zhu)
Derivative pricing
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Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control (2016) 64, 66-81 (with Ling Tang and Xingye Yue)
- Guaranteed minimum withdrawal benefit in variable annuities Mathematical Finance (2008) 18(4), 595-611 (with Yue-Kuen Kwok and Jianping Zong)
- Optimal shouting policies of options with strike reset rights Mathematical Finance (2004) 14(3), 383-401 (with Yue-Kuen Kwok and Lixin Wu)