Research

Working Papers

  1. Optimal Fee Structure of Variable Annuities (with Gu Wang, 2021). [PDF] [SSRN]
  2. Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures (with C. Alexander and J. Deng, 2021). [PDF] [arXiv] [SSRN]
  3. Mean-Variance Portfolio Selection in Contagious Markets (with Y. Shen, 2020). R&R. [PDF]
  4. A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies (with Z. Jin and Z.Q. Xu, 2020). R&R. [PDF] [arXiv]
  5. Monotone Mean-Variance Portfolio Selection under non-Markovian Regime-Switching Models (with K. Fan, Y. Shen and J. Wei, 2020).
  6. Mean-Variance Tradeoff of Bitcoin Inverse Futures (with J. Deng, H. Pan and S. Zhang, 2020). [PDF]

      Publications

      1. Optimal Bitcoin Trading with Inverse Futures (with J. Deng, H. Pan and S. Zhang, 2021). Annals of Operations Research, accepted. [SSRN] [ResearchGate] [PDF]

      2. Optimal Bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, accepted. [Journal] [ResearchGate] [SSRN] [arXiv] [PDF]

      3. Mean-Variance Investment and Risk Control Strategies — A Time-Consistent Approach via A Forward Auxiliary Process (with Y. Shen, 2021). Insurance: Mathematics and Economics, 97, 68-80. [Journal] [ResearchGate] [arXiv] [PDF]

      4. Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time (with J. Deng, 2021). Operations Research Letters, 49(2), 218-225. [Journal] [arXiv] [PDF]

      5. Bond Indifference Prices (with M. Lorig, 2021). Quantitative Finance, accepted. [Journal] [ResearchGate] [SSRN] [PDF]

      6. Minimum-Variance Hedging of Bitcoin Inverse Futures (with J. Deng, H. Pan and S. Zhang, 2020). Applied Economics, 52(58), 6320-6337. [Journal] [PDF] [SSRN] (Local PDF/SSRN have a better format than the published version)

      7. A Set-Valued Markov Chain Approach to Credit Risk (with D. Chen, J. Deng and J. Feng, 2020). Quantitative Finance, 20(4), 669-689. [Journal] [SSRN] [PDF]

      8. A Mathematical Analysis of Technical Analysis (with M. Lorig and Z. Zhou, 2019). Applied Mathematical Finance, 26(1), 38-68. [Journal] [arXiv] [PDF]

      9. Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting (with Z. Cui, Q. Feng and R. Hu, 2018). Operations Research Letters, 46(3), 306-311. [Journal] Full version: [SSRN] [PDF]

      10. Optimal investment in hedge funds under loss aversion (2017). International Journal of Theoretical and Applied Finance, 20(3), 1750014, 2017. [Journal] [PDF]

      11. Optimal investment with transaction costs under cumulative prospect theory in discrete time (with R. Zagst, 2017). Mathematics and Financial Economics, 11(4), 393-421. [Journal Link] [PDF]

      12. Optimal investment and liability ratio policies in a multidimensional regime switching model (with A. Cadenillas, 2017). Risks, 5(1), 6. [Journal Link] [PDF]

      13. Explicit solutions of optimal consumption, investment and insurance problems with regime switching (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 159-167. [Journal Link] Expended version: [arXiv]

      14. Optimal investment and risk control policies for an insurer: expected utility maximization (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 57-67. [Journal Link] [PDF]

      Notes

      1. Corporate Finance (FIN 501, University of Alberta) [PDF]

      Theses

      1. Ph.D. thesis, Stochastic Control in Optimal Insurance and Investment with Regime Switching, University of Alberta, 2014. [PDF]

      2. Master thesis, Efficient Hedging Theory and Its Applications, Beijing Institute of Technology, 2009. [PDF]

      3. Undergraduate thesis, Optimal Hedging Strategies of Futures, Beijing Institute of Technology, 2007. [PDF]