Selected Publications
FinTech
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
Designing stable coins (with Yizhou Cao, Steven Kou, Lewei Li, and Chen Yang)
The wisdom of the crowd and prediction markets Journal of Econometrics (2021) 222(1) 561-578 (with Yanwei Jia and Steven Kou)
From Hotelling to Nakamoto: The economics of Bitcoin mining (with Wei Jiang, Steven Kou, and Cong Qin)
Learning equilibrium mean-variance strategy Mathematical Finance (2023) 33(4), 1166-1212 (with Yuchao Dong and Yanwei Jia)
Bitcoin mining and electricity consumption (with Steven Kou, Shuaijie Qian, and Ling Qin)
Learning Merton's strategies in an incomplete market: Recursive entropy regularization and biased Gaussian exploration (with Yuchao Dong, Yanwei Jia, and Xunyu Zhou)
Data-driven option pricing (with Hanqing Jin and Xi Yang)
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 (with Yaoting Lei and Hong Liu)
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)