FinTech: Machine/Reinforcement learning

• Reinforcement learning for arbitrage strategies in stock index futures (with Yuchao Dong and Linfeng Li) 

• Learning to optimally stop a diffusion process, with financial applications Management Science, forthcoming (with Yu Sun, Zuoquan Xu, and Xunyu Zhou)

• Learning an optimal investment policy with transaction costs via a randomized Dynkin game (with Yuchao Dong)

• Data-driven Merton's strategies via policy randomization (with Yuchao Dong, Yanwei Jia, and Xunyu Zhou)

• Data-driven option pricing (with Hanqing Jin and Xi Yang)

• Learning equilibrium mean-variance strategy Mathematical Finance (2023) 33(4), 1166-1212 (with Yuchao Dong and Yanwei Jia)

FinTech: Blockchain finance

• Arbitrage in perpetual contracts (with Linfeng Li and Chen Yang)

• Bitcoin mining and electricity consumption (with Steven Kou, Shuaijie Qian, and Ling Qin)

• From Hotelling to Nakamoto: The economics of Bitcoin mining (with Wei Jiang, Steven Kou, and Cong Qin)

• Designing stable coins Mathematical Finance (2025) 35(1), 263-294  (with Yizhou Cao, Steven Kou, Lewei Li, and Chen Yang)

FinTech: Others (robo-advising and prediction markets) 

• 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 (2021) 3, 81-97 

• The wisdom of the crowd and prediction markets Journal of Econometrics (2021) 222(1) 561-578 (with Yanwei Jia and Steven Kou) 

Option exercise games

•      Option exercise games and the q theory of investment (with Zhaoli Jiang and Neng Wang)

•      Strategic investment under uncertainty with first- and second-mover advantages (with Zhaoli Jiang and Neng Wang)

Capital structure

•  A q theory of internal capital markets Journal of Finance (2024) 79(2), 1147-1197 (with Xavier Giroud, Wei Jiang, and Neng Wang)

• 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)

Disposition effect

• Dynamic trading with realization utility Journal of Finance, forthcoming (with Cong Qin and Neng Wang)

• A rational theory for disposition effects Review of Economic Dynamics (2023) 47, 131-157 (with Yipeng Jiang, H. Liu, and Jing Xu) 

Household financing

• Optimal consumption and investment with cointegrated stock and housing markets, presented at WFA 2020 (with Yingshan Chen, Shan Huang, and Hong Liu) 

Leveraged ETF

•      Leveraged exchange-traded funds with market closure and frictions Management Science (2023) 69(4), 2517-2545 (with S. Kou, H.M. Soner, and Chen Yang).

Nonconcave portfolio optimization

• Non-concave utility optimization with portfolio bounds Management Science (2022) 68(11), 8368–8385 (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 gain taxes

• Optimal tax-timing strategy with transaction costs Management Science, forthcoming (with Yaoting Lei, Hong Liu, and Chen Yang)

• Life-time portfolio and consumption choice with defined contribution plans Finance and Stochastics, forthcoming (with Shuaijie Qian, Ling Qin and Jing 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)

• 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)

• 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

• 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)

• 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)

• 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)

• 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)

• Illiquidity, position limits, and optimal investment for mutual funds Journal of Economic Theory (2011) 146, 1598-1630. (with Hanqing Jin and Hong Liu)

• Penalty methods for continuous-time portfolio selection with proportional transaction costs Journal of Computational Finance (2010) 13(3), 1-31. (with Yifei Zhong)

• 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)

• 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, 1445-1469 (with Fahuai Yi)

Trend following strategy

• Optimal trend following trading rules Mathematics of Operations Research (2016) 41(2), 626-642 (with Zhou Yang, Qing Zhang and Qiji Zhu)

• 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

• 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)