Publications
1. Simulating Risk Measures via Asymptotic Expansions of Relative Error (with Steven Kou), Mathematical Finance, 31(3), 2021, 907-942.
2. Asymptotic Analysis of No-transaction Region for Two Illiquid and Correlated Stocks (with Xinfu Chen, Min Dai, and Cong Qin), Mathematical Finance, 32(4), 2022, 1133-1169.
3. A q Theory of Internal Capital Markets (with Min Dai, Xavier Giroud, and Neng Wang), Journal of Finance, 79(2), 2024, 1147-1197.
4. Managing Government Debt (with Thomas Sargent, Neng Wang, and Jinqiang Yang). Proceedings of the National Academy of Sciences, 2024.
5. A p Theory of Government Debt and Taxes (with Thomas J. Sargent, Neng Wang, and Jinqiang Yang), Journal of Finance, accepted.
Working Papers
6. From Hotelling to Nakamoto: The Economics of Bitcoin Mining (with Min Dai, Steven Kou, and Cong Qin)
7. An Investment Theory with Lags and Adjustment Costs (with Shuaijie Qian and Jialu Shen), MFA 2022, AFBC 2022
8. Nonlinear Dependence and Portfolio Decisions over the Life-Cycle (with Shize Li and Jialu Shen), AEA 2023 (poster), AFA 2023 (poster), SFS Asia Cavalcade 2022
9. Robust Hypothesis Testing: Separating Ambiguity from Risk (with Paul Glasserman and Steven Kou)
10. Optimal Stockist Selection and Contract Design: Theory and Evidence from Supply Chain in India (with Jussi Keppo, Yu Long, and Omkar Palsule-Desai)
Research Grants:
1. RGC – Early Career Scheme (Project ID: 26211120, HK$741k). 2021-2023. Project title: Optimal Corporate Investment with a Generalized Setup of Investment Frictions.
2. Hong Kong University of Science and Technology Start-up Fund. 2019-2024.
1. Simulating Risk Measures via Asymptotic Expansions of Relative Error (with Steven Kou), Mathematical Finance, 31(3), 2021, 907-942.
2. Asymptotic Analysis of No-transaction Region for Two Illiquid and Correlated Stocks (with Xinfu Chen, Min Dai, and Cong Qin), Mathematical Finance, 32(4), 2022, 1133-1169.
3. A q Theory of Internal Capital Markets (with Min Dai, Xavier Giroud, and Neng Wang), Journal of Finance, 79(2), 2024, 1147-1197.
4. Managing Government Debt (with Thomas Sargent, Neng Wang, and Jinqiang Yang). Proceedings of the National Academy of Sciences, 2024.
5. A p Theory of Government Debt and Taxes (with Thomas J. Sargent, Neng Wang, and Jinqiang Yang), Journal of Finance, accepted.
Working Papers
6. From Hotelling to Nakamoto: The Economics of Bitcoin Mining (with Min Dai, Steven Kou, and Cong Qin)
7. An Investment Theory with Lags and Adjustment Costs (with Shuaijie Qian and Jialu Shen), MFA 2022, AFBC 2022
8. Nonlinear Dependence and Portfolio Decisions over the Life-Cycle (with Shize Li and Jialu Shen), AEA 2023 (poster), AFA 2023 (poster), SFS Asia Cavalcade 2022
9. Robust Hypothesis Testing: Separating Ambiguity from Risk (with Paul Glasserman and Steven Kou)
10. Optimal Stockist Selection and Contract Design: Theory and Evidence from Supply Chain in India (with Jussi Keppo, Yu Long, and Omkar Palsule-Desai)
Research Grants:
1. RGC – Early Career Scheme (Project ID: 26211120, HK$741k). 2021-2023. Project title: Optimal Corporate Investment with a Generalized Setup of Investment Frictions.
2. Hong Kong University of Science and Technology Start-up Fund. 2019-2024.