Full Publications
Working papers
Learning an optimal investment policy with transaction costs via a randomized Dynkin game (with Yuchao Dong)
Data-driven option pricing (with Hanqing Jin and Xi Yang)
Learning Merton's strategies in an incomplete market: Recursive entropy regularization and biased Gaussian exploration (with Yuchao Dong, Yanwei Jia, and Xunyu Zhou)
Calibration of local volatility models under the implied volatility criterion (with Xinfu Chen, Chen Yang, and Zhou Yang)
Life-time portfolio and consumption choice with defined contribution plans (with Shuaijie Qian, Ling Qin and Jing Xu)
Patience is a virtue: Optimal investment in the presence of market resilience (with Nan Chen, Qiheng Ding, and Chen Yang)
Strategic investment under uncertainty with first- and second-mover advantages (with Zhaoli Jiang and Neng Wang)
Bitcoin mining and electricity consumption (with Steven Kou, Shuaijie Qian, and Ling Qin)
Optimal consumption and investment with cointegrated stock and housing markets, presented at the WFA 2020 (with Yingshan Chen, Shan Huang, and Hong Liu)
Optimal tax-timing strategy with transaction costs (with Yaoting Lei and Hong Liu)
Top incomes and income inequality indices: A unified framework based on inequality index curves (with Steven Kou and Hui Shao)
Designing stable coins (with Yizhou Cao, Steven Kou, Lewei Li, and Chen Yang)
Convex incentives and liquidity premia (with L. Goncalves-Pinto, Jing Xu, and Cheng Yan) Presented at the WFA 2019
Exhaustible resources with adjustment costs: Spot and futures prices (with Steven Kou, and Cong Qin)
From Hotelling to Nakamoto: The economics of Bitcoin mining (with Wei Jiang, Steven Kou, and Cong Qin)
Publications
Dynamic trading with realization utility Journal of Finance, accepted for publication (with Cong Qin and Neng Wang)
A q theory of internal capital markets Journal of Finance (2024) 79(2), 1147-1197 (with Xavier Giroud, Wei Jiang, and Neng Wang)
Variational inequality problems in finance SCIENTIA SINICA Mathematica (2024) 54(3), 355-376 (with Shuaijie Qian and Heqing Huang)
Learning equilibrium mean-variance strategy Mathematical Finance (2023) 33(4), 1166-1212 (with Yuchao Dong and Yanwei Jia)
Leveraged exchange-traded funds with market closure and frictions (E-companion) Management Science (2023) 69(4), 2517-2535 (with Steven Kou, Mete Soner, and Chen Yang)
A rational theory for disposition effects Review of Economic Dynamics (2023) 47, 131-157 (with Yipeng Jiang, Hong Liu, and Jing Xu)
Asymptotic analysis of long-term investment with two illiquid and correlated assets Mathematical Finance (2022) 32(4), 1133-1169 (with Xinfu Chen, Wei Jiang, and Cong Qin)
Non-concave utility maximization with portfolio bounds (E-companion) Management Science (2022) 68(11), 8368–8385 (with Steven Kou, Shuaijie Qian, and Xiangwei Wan)
A stochastic representation for nonlocal parabolic PDEs with applications Mathematics of Operations Research (2022) 47(3), 1707-1730 (with Steven Kou, and Chen Yang)
Robo-advising: a dynamic mean-variance approach Digital Finance (2021) 3, 81-97 (with Hanqing Jin, Steven Kou, and Yuhong Xu)
Incomplete information and the liquidity premium puzzle Management Science (2021) 67(9), 5703-5729 (with Yingshan Chen, Luis Goncalves-Pinto, Jing Xu, and Cheng Yan)
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 (E-companion) Journal of Econometrics (2021) 222(1), 561-578 (with Yanwei Jia and Steven Kou)
A dynamic mean-variance analysis for log returns (E-companion) Management Science (2021) 67(2), 1093–1108 (with Hanqing Jin, Steven Kou, and Yuhong Xu)
How does illiquidity affect delegated portfolio choice? Journal of Financial and Quantitative Analysis (2019) 54(2), 539-585 (with Luis Goncalves-Pinto and Jing Xu)
Opaque bank assets and optimal equity capital Journal of Economic Dynamics and Control (2019) 100(3), 369-394 (with Shan Huang, and Jussi Keppo)
Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science (2018) 64(5), 2308-2324 (with J. Cai and Xinfu Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with Xinfu Chen)
Optimal trend following trading rules Mathematics of Operations Research (2016) 41(2), 626-642 (with Zhou Yang, Qing Zhang, and Qiji 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 Zhou Yang)
Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control (2016) 64(3), 66-81 (with Ling Tang and Xingye Yue)
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)
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)
Superhedging under ratio constraint Journal of Economic Dynamics and Control (2015) 58(9), 250-264 (with Yingshan Chen, Jing Xu, and Mingyu Xu)
Hiring, firing and employment protection Journal of Economic Dynamics and Control (2015) 56(7), 55-81 (with Jussi Keppo and T. Maull)
Pricing corporate debt with finite maturity and Chapter 11 proceedings Quantitative Finance (2013) 13(12), 1855-1861 (with Lishang Jiang and Jianwei 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 Xinfu 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 Nan Chen and Xiangwei 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 Yingshan Chen and Kun Zhao)
Optimal stock selling based on the global maximum SIAM Journal on Control and Optimization (2012) 50(4), 1804-1822 (with Yifei Zhong and Zhou Yang)
Leverage management in a bull-bear switching market Journal of Economic Dynamics and Control (2012) 36(10), 1585-1599 (with Hefei Wang and Zhou Yang)
Optimal stock selling/buying strategy with reference to the ultimate average Mathematical Finance (2012) 22(1), 165-184 (with Yifei Zhong)
Optimal redeeming strategy of stock loans with finite maturity Mathematical Finance (2011) 21(4), 775-793 (with Zuoquan Xu)
Optimal decision for selling an illiquid stock Journal of Optimization Theory and Applications (2011) 151(2), 402-417 (with Baojun Bian, Lishang Jiang, Qing Zhang and Yifei Zhong)
Optimal arbitrage strategies on stock index futures under position limits Journal of Futures Market (2011) 31(4), 394-406 (with Yue-Kuen Kwok and Yifei Zhong)
Illiquidity, position limits, and optimal investment for mutual funds Journal of Economic Theory (2011) 146(4), 1598-1630 (with Hanqing Jin and Hong Liu)
Trend following trading under a regime switching model SIAM Journal on Financial Mathematics (2010) 1, 780-810 (with Qing Zhang and Qiji 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 Hanqing Jin, Yifei Zhong, and Xunyu Zhou)
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)
Penalty methods for continuous-time portfolio selection with proportional transaction costs Journal of Computational Finance (2010) 13(3), 1-31 (with Yifei Zhong)
A lattice pricing algorithm for moving-average barrier options Journal of Economic Dynamics and Control (2010) 34(3):542-554 (with Peifan Li and Jin Zhang)
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)
Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem Journal of Differential Equations (2009) 246(4), 1445-1469 (with Fahuai Yi)
Pricing jump risk with utility indifference Quantitative Finance (2009) 9(2):177-186 (with Lixin Wu)
Guaranteed minimum withdrawal benefit in variable annuities Mathematical Finance (2008) 18(4), 595-611 (with Yue-Kuen Kwok and Jianping Zong)
Optimal multiple stopping models of reload options and shout options Journal of Economic Dynamics and Control (2008) 32(7), 2269-2290 (with Yue-Kuen Kwok)
Intensity-based framework and penalty formulation of optimal stopping problems Journal of Economic Dynamics and Control (2007) 31(12), 3860-3880 (with Yue-Kuen Kwok and Hong You)
A parabolic variational inequality arising from the valuation of strike reset options Journal of Differential Equations (2006) 230(2), 481-501 (with Zhou Yang and Fahuai Yi)
Characterization of optimal stopping regions of American path dependent options Mathematical Finance (2006) 16(1), 63-82 (with Yue-Kuen Kwok)
American options with lookback payoff SIAM Journal on Applied Mathematics (2006) 66(1), 206-227 (with Yue-Kuen 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 Yue-Kuen Kwok)
Options with combined reset rights on strike and maturity Journal of Economic Dynamics and Control (2005) 29(9), 1495-1515 (with Yue-Kuen Kwok)
Valuing employee reload options under time vesting requirement Quantitative Finance (2005), 5(1):61-69 (with Yue-Kuen Kwok)
Quanto lookback options Mathematical Finance (2004) 14(3), 445-467 (with Hoi-Ying Wong and Yue-Kuen Kwok)
Optimal shouting policies of options with strike reset rights Mathematical Finance (2004) 14(3), 383-401 (with Yue-Kuen Kwok and Lixin Wu)
Knock-in American options Journal of Futures Markets (2004) 24(2), 179-192 (with Yue-Kuen Kwok)
Convergence of binomial tree method for European/American path-dependent options SIAM Journal on Numerical Analysis (2004) 42(3), 1094-1109 (with Lishang Jiang)
Options with multiple reset rights International Journal of Theoretical and Applied Finance (2003) 6(5), 637-653 (with Yue-Kuen Kwok and Lixin 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 Lishang Jiang)