Research
Research
Broadly speaking, I am interested in stochastic control and optimisation. My works tend to be application-driven in the areas of economics and quantitative finance, with the goal of producing economic insights, recommendations, and business solutions for policy makers and practitioners. In parallel, they also carry interesting theoretical implications especially related to duality methods in control theories .
My recent research themes include: incentive design and risk taking behaviours, portfolio optimisation of many different flavours (relative performance criterion, transaction costs, risk constraints, incomplete information), corporate finance policies, algorithmic trading (market making in particular), behavioural economics, duality methods.
I was named Quants of the Year (together with Vladimir Lucic) by Risk.net for our work on option market making.
[14] Portfolio selection in contests, 2025+ (with Lu, Y.). To appear in SIAM Journal on Financial Mathematics.
[13] The (non-)equivalence of dividends and share buybacks, 2025+ (with Herskovits, J. and Muhle-Karbe, J.). SSRN 5199352. To appear in Mathematics and Financial Economics.
[12] Optimal option market making and vol arbitrage, 2025 (with Lucic, V.). Risk. Extended version of the paper: SSRN 4729290. Link to Colab notebook. See also a Risk.net coverage/interview article here.
[11] FX open forward, 2024 (with Hok, J.). SSRN 4693065. Quantitative Finance, 24(8), 1037–1055.
[10] The importance of dynamic risk constraints for limited liability operators, 2024 (with Armstrong, J. and Brigo, D.). arXiv:2011.03314. Annals of Operations Research, 336, 861–898.
[9] Portfolio selection, periodic evaluations and risk taking, 2023 (with Zheng, H.). SSRN 3971852. Operations Research, 71(6), 2078-2091.
[8] Speculative trading, prospect theory and transaction costs, 2023 (with Zheng, H.). arxiv:1911.10106. Finance and Stochastics, 27(1), 49-96.
[7] Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and bank lending, 2023 (with Lambrecht, B.). SSRN 3123170. Journal of Financial and Quantitative Analysis, 58(1), 175-216.
[6] Dividend policy and capital structure of a defaultable firm, 2020. arXiv:1810.03501. Mathematical Finance, 30(3), 961-994.
[5] A multi-asset investment and consumption problem with transaction costs, 2019 (with Hobson D. and Zhu, Y.). arXiv:1612.01327. Finance and Stochastics, 23(3), 641-676.
[4] Optimal consumption and investment under transaction costs, 2019 (with Hobson, D. and Zhu, Y.). arXiv:1612.00720. Mathematical Finance, 29(2), 483-506.
[3] Probability weighting, stop-loss and the disposition effect, 2018 (with Henderson, V. and Hobson, D.). SSRN 2823449. Journal of Economic Theory, 178, 360-397.
[2] Randomized strategies and prospect theory in a dynamic context, 2017 (with Henderson, V. and Hobson, D.). SSRN 2531457. Journal of Economic Theory, 168, 287-300.
[1] Dynamic modeling of tail risk: applications to China, Hong Kong and other Asian markets, 2009 (with So, M. K. P.). SSRN 1414865. Asia-Pacific Financial Markets, 16(3), 183-210.
Optimal option market making under market impact, 2025 (with Buet-Golfouse , F.). SSRN 5533518.
Periodic portfolio selection with quasi-hyperbolic discounting, 2024 (with Hamaguchi, Y.). R&R.
Portfolio optimization under transaction costs with recursive preferences, 2024 (with Herdegen, M. and Hobson, D.). R&R.
European Journal of Operational Research; Finance and Stochastics; International Economic Review; Journal of Banking and Finance; Journal of Business & Economic Statistics; Journal of Economic Dynamics and Control; Journal of Economic Theory; Management Science; Mathematical Finance; Mathematics and Financial Economics; Quantitative Finance; Review of Financial Studies; SIAM Journal on Financial Mathematics.