Portfolio selection with capital gain taxes

       Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science to appear (with J. Cai and X. Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with X. Chen)

       Optimal tax-timing with asymmetric long-term/short-term capital gains tax Review of Financial Studies (2015) 28(9), 2687-2721(with H. Liu, C. Yang, and Y.F. Zhong)

Portfolio selection with transaction costs or illiquidity

       How does illiquidity affect delegated portfolio choice? Journal of Financial and Quantitative Analysis to appear (with L. Goncalves-Pinto and J. Xu)

       Portfolio choice with market closure and implications for liquidity premia Management Science (2016) 62(2), 368-386 (with P.F. Li, H. Liu, and Y. 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 X. Chen)

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

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

       Finite horizon optimal investment and consumption with transaction costs SIAM Journal on Control and Optimization (2009) 48(2), 1134-1154 (with L. Jiang, P.F. Li and F.H. Yi)

       Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem Journal of Differential Equations (2009) 246, 1445-1469. (with F.H. Yi)

Trend following strategy

       Optimal trend following trading rules Mathematics of Operations Research (2016), 41(2), 626-642 (with Z. Yang, Q. Zhang and Q. Zhu)

       Trend following trading under a regime switching model SIAM Journal on Financial Mathematics, (2010) 1, 780-810. (with Q. Zhang and Q. Zhu)

Derivative pricing

       Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control (2016) 64, 66-81 (with L. Tang and X.Y. Yue)

       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 N. Chen, X. Wan)

       A lattice pricing algorithm for moving-average barrier options Journal of Economic Dynamics and Control (2010) 34(3), 542-554 (with P.F. Li and J.E. Zhang)

       Guaranteed minimum withdrawal benefit in variable annuities Mathematical Finance (2008) 18(4), 595-611 (with Y.K. Kwok and J. Zong)

 

Press here by a full list, here by category.