Working papers

1.     A portfolio rebalancing theory of disposition effect (with H. Liu and J. Xu)

2.     Robo-advising: a dynamic mean-variance analysis (with H. Jin, S. Kou, and Y. Xu)

3.     Designing stable coins (with Y. Cao, S. Kou, L. Li, and C. Yang)

4.     A stochastic representation for nonlocal parabolic PDEs with applications (with S. Kou, and C. Yang)

5.     Opaque bank assets and optimal equity capital (with S. Huang, and J. Keppo)

6.     Exhaustible resources with adjustment costs: Spot and futures prices (with S. Kou, and C. Qin)

Publications (press here by category)

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

2.     Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science (2018), 64(5), 2308-2324 (with J. Cai and X. Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with X. Chen)

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

4.     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 Z. Yang)

5.     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)

6.     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)

7.     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)

8.     Superhedging under ratio constraint Journal of Economic Dynamics and Control, (2015), 58, 250-264 (with Y. Chen, J. Xu, and M. Xu)

9.     Hiring, firing and employment protection Journal of Economic Dynamics and Control (2015), 56, 55-81 (with J. Keppo and T. Maull)

10.  Pricing corporate debt with finite maturity and Chapter 11 proceedings, Quantitative Finance (2013), 13(12), 1855-1861. (with L. Jiang and J. Lin)

11.  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)

12.  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)

13.  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 Y. Chen and K. Zhao)

14.  Optimal stock selling based on the global maximum, SIAM Journal on Control and Optimization (2012), 50, 1804-1822. (with Y.F. Zhong and Z. Yang)

15.  Leverage management in a bull-bear switching market Journal of Economic Dynamics and Control (2012), 36, 1585-1599. (with H.F. Wang and Z. Yang)

16.  Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance (2012), 22(1), 165-184. (with Y.F. Zhong)

17.  Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance (2011), 21(4), 775-793 (with Z.Q. Xu)

18.  Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications (2011), 151(2), 402-417. (with B. Bian, L. Jiang, J. Zhang and Y.F. Zhong)

19.  Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market (2011), 31(4), 394-406. (with Y.K. Kwok and Y.F. Zhong)

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

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

22.  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 H.Q. Jin, Y.F. Zhong, and X.Y. Zhou)

23.  Continuous-time mean-variance portfolio selection with proportional transaction costs, SIAM Journal on Financial Mathematics, (2010), 1(1), 96-125. (with Z.Q. Xu and X.Y. Zhou)

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

25.  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)

26.  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)

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

28.  Pricing jump risk with utility indifference, Quantitative Finance (2009), 9(2):177-186 (with L.X. Wu)

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

30.  Optimal multiple stopping models of reload options and shout options, Journal of Economic Dynamics and Control (2008), 32(7):2269-2290 (with Y.K. Kwok)

31.  Intensity-based framework and penalty formulation of optimal stopping problems, Journal of Economic Dynamics and Control (2007), 31(12):3860-3880 (with Y.K. Kwok and H. You)

32.  A parabolic variational inequality arising from the valuation of strike reset options, Journal of Differential Equations (2006), 230:481-501 (with Z. Yang and F.H. Yi)

33.  Characterization of optimal stopping regions of American path dependent options, Mathematical Finance (2006), 16(1):63-82 (with Y.K. Kwok)

34.  Optimal policies of call with notice period requirement for American warrants and convertible bonds, Asia Pacific Financial Markets (2005), 12(4):353-373 (with Y.K. Kwok)

35.  American options with lookback payoff, SIAM Journal on Applied Mathematics (2005), 66(1):206-227 (with Y.K. Kwok)

36.  Options with combined reset rights on strike and maturity, Journal of Economic Dynamics and Control (2005), 29(9):1495-1515 (with Y.K. Kwok)

37.  Valuing employee reload options under time vesting requirement, Quantitative Finance (2005), 5(1):61-69 (with Y.K. Kwok)

38.  Quanto lookback options, Mathematical Finance (2004), 14(3):445-467 (with H.Y. Wong and Y.K. Kwok)

39.  Optimal shouting policies of options with strike reset rights, Mathematical Finance (2004), 14(3):383-401 (with Y.K. Kwok and L.X. Wu)

40.  Knock-in American options, Journal of Futures Markets (2004), 24(2):179-192 (with Y.K. Kwok)

41.  Convergence of binomial tree method for European/American path-dependent options, SIAM Journal on Numerical Analysis (2004), 42(3):1094-1109 (with L. Jiang)

42.  Options with multiple reset rights, International Journal of Theoretical and Applied Finance (2003), 6(5):637-653 (with Y.K. Kwok and L.X. Wu)

43.  One-state variable binomial models for European-/American-style geometric Asian options, Quantitative Finance (2003), 3(4):288-295

44.  A closed form solution to perpetual American floating strike lookback option, Journal of Computational Finance (winter 2000/2001), 4(2):63-68

45.  A modified binomial tree method for currency lookback options, Acta Mathematica Sinica, (2000), 16(3):445-454

46.  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 L. Jiang)

47.  Convergence of binomial tree method for American options, Partial differential equations and their applications (Wuhan, 1999), 106-118, World Sci. Publ., River Edge, NJ, 1999 (with L. Jiang)