Research Interests:
Asset Pricing and Portfolio Choices, Financial Markets, Risk Management
Selected Publications:
Limited Diversification, Portfolio Inertia, and Ambiguous Correlation. Journal of Economic Theory, 2022 (with Julia Jiang, Jun Liu and Xudong Zeng).
Callable Contingent Capital: Valuation and Default Risk. Management Science, 2017.
Spanning with Indexed. Journal of Mathematical Economics, 2014.
Optimal Stopping with Reward Constraints. Finance and Stochastics, 2012 (with Jerome Detemple and Jie Xiong).
Optimal Reinsurance Arrangements Under Tail Risk Measure, Journal of Risk and Insurance, 2012 (with Carole Bernard).
Robust Stochastic Discount Factors, Review of Financial Studies, 2008 (with Phelim Boyle, Shui Feng and Tan Wang).
Portfolio Management with Constraints. Mathematical Finance, 2007 (with Phelim Boyle).
The Valuation of Americal Call Options on the Minimum of Two Dividend-Paying Assets. Annals of Applied Probability, 2003 (with Jerome Detemple and Shui Feng).
The Valuation of American Option for a Class of Diffusion Process. Management Science, 2002 (with Jerome Detemple).