Min Dai

The Hong Kong Polytechnic University

  • The Hong Kong Polytechnic University

SCHOLARLY PAPERS

75

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205

Scholarly Papers (75)

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1.

Trend following trading under a regime switching model

Number of pages: 33 Posted: 20 Jul 2011 Last Revised: 20 Dec 2024
Min Dai, Qing Zhang and Qiji Jim Zhu
The Hong Kong Polytechnic University, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 5,418 (3,317)
Citation 6

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optimal stopping time, regime switching model, Wonham filter, trend following trading rule

2.

Optimal Trend Following Trading Rules

Number of pages: 20 Posted: 27 Jun 2010 Last Revised: 12 Jun 2015
Min Dai, Zhou Yang, Qing Zhang and Qiji Jim Zhu
The Hong Kong Polytechnic University, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 2,412 (12,426)
Citation 1

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3.

Designing Stablecoins

Number of pages: 54 Posted: 07 Jun 2021 Last Revised: 29 Jul 2024
Yizhou Cao, Min Dai, Steven Kou, Lewei Li and Chen Yang
Tau Strategy, The Hong Kong Polytechnic University, Boston University, FinBook and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 1,016 (46,205)
Citation 8

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stablecoins, fixed income crypto assets, leveraged return crypto assets, smart contracts

4.

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
Min Dai, Yue Kuen Kwok and Jianping Zong
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 851 (59,007)
Citation 5

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guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model

5.

How Does Illiquidity Affect Delegated Portfolio Choice?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, WFA 2010 Victoria Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 85 Posted: 16 Feb 2009 Last Revised: 12 Oct 2018
Min Dai, Luis Goncalves-Pinto and Jing Xu
The Hong Kong Polytechnic University, University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 650 (83,751)
Citation 1

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Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity

6.

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Number of pages: 15 Posted: 08 Feb 2010 Last Revised: 07 May 2010
Min Dai, Yifei Zhong and Yue Kuen Kwok
The Hong Kong Polytechnic University, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 638 (85,739)
Citation 2

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index arbitrage, optimal stopping, transaction costs, position limits

7.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
Min Dai, Hanqing Jin, Hanqing Jin, Steven Kou and Yuhong Xu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 632 (86,805)
Citation 20

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portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery

8.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 562 (100,800)

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Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)

9.

Learning Equilibrium Mean-Variance Strategy

Number of pages: 57 Posted: 12 Mar 2021 Last Revised: 14 Jan 2023
Min Dai, Yuchao Dong and Yanwei Jia
The Hong Kong Polytechnic University, Tongji University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 523 (110,179)
Citation 9

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asset allocation; reinforcement learning; equilibrium mean variance analysis; entropy

10.

Calibration of Stochastic Volatility Models: An Optimal Control Approach

Number of pages: 26 Posted: 21 Oct 2012
Min Dai, Ling Tang and Xingye Yue
The Hong Kong Polytechnic University, affiliation not provided to SSRN and Soochow University
Downloads 488 (119,769)

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calibration, stochastic volatility model, option prices, optimal control, inverse problem

11.

Bitcoin Mining and Climate Damage

Number of pages: 71 Posted: 08 Feb 2022 Last Revised: 26 Jun 2024
Min Dai, Steven Kou, Shuaijie Qian and Ling Qin
The Hong Kong Polytechnic University, Boston University, Department of Mathematics, HKUST and The Chinese University of Hong Kong (CUHK)
Downloads 487 (120,047)
Citation 1

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Industry Equilibrium, Bitcoin Mining, Climate Damage

12.

Convergence of Binomial Tree Method for European/American Path-Dependent Options

SIAM Journal on Numerical Analysis, Vol. 42, No. 3, pp. 1094-1109, 2004
Number of pages: 20 Posted: 21 Feb 2005
Lishang Jiang and Min Dai
Tongji University - Institute of Mathematics and The Hong Kong Polytechnic University
Downloads 480 (122,182)
Citation 3

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Binomial tree method, European/American path-dependent options, convergence

13.

American Options with Lookback Payoff

Number of pages: 22 Posted: 09 Aug 2004
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 458 (129,212)
Citation 5

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Lookback options, American feature, free boundary value problems

14.

Penalty Methods for Continuous-Time Portfolio Selection with Proportional Transaction Costs

Number of pages: 25 Posted: 07 Aug 2008
Min Dai and Yifei Zhong
The Hong Kong Polytechnic University and University of Oxford - Mathematical Institute
Downloads 434 (137,864)
Citation 28

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15.

A Closed-Form Solution for Perpetual American Floating Strike Lookback Options

Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001
Number of pages: 8 Posted: 21 Feb 2005
Min Dai
The Hong Kong Polytechnic University
Downloads 422 (142,385)

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Perpetual American lookback options, closed-form solution, floating strike

16.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019 Last Revised: 03 Sep 2019
Min Dai, Steven Kou, Shuaijie Qian and Xiangwei Wan
The Hong Kong Polytechnic University, Boston University, Department of Mathematics, HKUST and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 410 (147,274)
Citation 3

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

17.

From Hotelling to Nakamoto: The Economics of Bitcoin Mining

Number of pages: 41 Posted: 18 Feb 2021
Min Dai, Wei Jiang, Steven Kou and Cong Qin
The Hong Kong Polytechnic University, Hong Kong University of Science and Technology, Boston University and Soochow University
Downloads 398 (152,294)

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Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory

18.

Illiquidity, Portfolio Constraints, and Diversification

Number of pages: 44 Posted: 21 Mar 2008
Hong Liu, Min Dai and Hanqing Jin
Washington University in St. Louis - Olin Business School, The Hong Kong Polytechnic University and National University of Singapore (NUS)
Downloads 370 (165,191)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

19.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
Min Dai, Hanqing Jin, Hanqing Jin, Steven Kou and Yuhong Xu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 358 (171,281)
Citation 1

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robo-advising, mean-variance, asset allocation

20.

Leverage Management in a Bull-Bear Switching Market

UIC College of Business Administration Research Paper No. 10-08
Number of pages: 27 Posted: 17 Mar 2010
Min Dai, Zhou Yang and Hefei Wang
The Hong Kong Polytechnic University, South China Normal University - Department of Math and University of Illinois at Chicago - Department of Finance
Downloads 344 (178,946)
Citation 2

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21.

Leveraged ETFs with Market Closure and Frictions

Number of pages: 50 Posted: 07 Jun 2021
Min Dai, Steven Kou, H. Mete Soner and Chen Yang
The Hong Kong Polytechnic University, Boston University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 336 (183,530)
Citation 1

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daily rebalancing, leveraged ETFs, market closure, frictions

22.

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Downloads 328 (188,357)
Citation 18

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 20 Apr 2022
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 179 (341,063)
Citation 18

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 28 May 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 149 (400,022)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

23.

The Wisdom of the Crowd and Prediction Markets

Journal of Econometrics, Forthcoming
Number of pages: 86 Posted: 16 Jun 2020
Min Dai, Yanwei Jia and Steven Kou
The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Boston University
Downloads 314 (197,942)
Citation 2

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prediction markets, public opinion polls, information aggregation

24.

A q Theory of Internal Capital Markets

Downloads 310 (200,001)
Citation 7

A q Theory of Internal Capital Markets

Number of pages: 61 Posted: 09 Dec 2020
Min Dai, Xavier Giroud, Wei Jiang and Neng Wang
The Hong Kong Polytechnic University, Columbia University - Columbia Business School, Finance, Hong Kong University of Science and Technology and Columbia University - Columbia Business School, Finance
Downloads 271 (228,492)

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internal capital markets, risk management, cash management, financing constraints, spinoff

A Q Theory of Internal Capital Markets

NBER Working Paper No. w27931
Number of pages: 100 Posted: 14 Oct 2020 Last Revised: 27 Apr 2023
Min Dai, Xavier Giroud, Wei Jiang and Neng Wang
The Hong Kong Polytechnic University, Columbia University - Columbia Business School, Finance, Hong Kong University of Science and Technology and Columbia University - Columbia Business School, Finance
Downloads 36 (913,738)
Citation 7

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A Q Theory of Internal Capital Markets

CEPR Discussion Paper No. DP15341
Number of pages: 64 Posted: 03 Nov 2020
Min Dai, Xavier Giroud, Wei Jiang and Neng Wang
The Hong Kong Polytechnic University, Columbia University - Columbia Business School, Finance, Hong Kong University of Science and Technology and Columbia University - Columbia Business School, Finance
Downloads 3 (1,301,572)
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25.

Convergence Analysis of Binomial Tree Method for American-Type Path-Dependent Options

FREE BOUNDARY PROBLEMS: THEORY AND APPLICATIONS, pp. 153-166, Chiba, 1999
Number of pages: 14 Posted: 04 May 2006 Last Revised: 09 Feb 2009
Min Dai and Lishang Jiang
The Hong Kong Polytechnic University and Tongji University - Institute of Mathematics
Downloads 307 (202,057)

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Path-dependent options, binomial tree method, forward shooting grid method, convergence analysis

26.

Dynamic Trading with Realization Utility

Downloads 300 (207,145)

Dynamic Trading with Realization Utility

Columbia Business School Research Paper No. 4021117
Number of pages: 67 Posted: 30 Jan 2022 Last Revised: 15 Sep 2023
Min Dai, Cong Qin and Neng Wang
The Hong Kong Polytechnic University, Soochow University and Columbia University - Columbia Business School, Finance
Downloads 288 (214,633)

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prospect theory; loss aversion; option value; disposition effect; leverage; time diversification

Portfolio Rebalancing with Realization Utility

NBER Working Paper No. w29821
Number of pages: 51 Posted: 07 Mar 2022 Last Revised: 26 Jun 2022
Min Dai, Cong Qin and Neng Wang
The Hong Kong Polytechnic University, Soochow University and Columbia University - Columbia Business School, Finance
Downloads 12 (1,191,945)

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27.

Opaque Bank Assets and Optimal Equity Capital

Journal of Economic Dynamics and Control, Vol. 100, 2019
Number of pages: 69 Posted: 02 Jun 2016 Last Revised: 21 May 2020
Min Dai, Shan Huang and Jussi Keppo
The Hong Kong Polytechnic University, Georgia Institute of Technology and National University of Singapore (NUS) - NUS Business School
Downloads 297 (209,356)
Citation 2

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bank capital, dividends, investment, earnings smoothing, banking regulation

28.

Optimal Stock Selling/Buying Strategy with Reference to the Ultimate Average

Number of pages: 16 Posted: 28 Jul 2008
Min Dai and Yifei Zhong
The Hong Kong Polytechnic University and University of Oxford - Mathematical Institute
Downloads 295 (210,893)
Citation 3

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optimal strategy, average price, optimal stopping problem, variational inequality

29.

Optimal Policies of Call with Notice Period Requirement for Callable American Warrants and Convertible Bonds

Number of pages: 44 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 290 (214,657)
Citation 7

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American warrant, convertible bond, notice period requirement, callable feature

30.

Multiple Birds, One Stone: Can Portfolio Rebalancing Contribute to Disposition Effect-related Trading Patterns?

Number of pages: 47 Posted: 06 Apr 2015 Last Revised: 30 Jan 2019
Min Dai, Hong Liu and Jing Xu
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 288 (216,950)

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disposition effect, portfolio rebalancing, learning, transaction costs

31.

Incomplete Information and the Liquidity Premium Puzzle

Management Science, forthcoming
Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 27 May 2020
Yingshan Chen, Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan
South China University of Technology, The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 278 (224,227)
Citation 4

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

32.

Asymptotics for Merton Problem with Capital Gain Taxes and Small Interest Rate

Number of pages: 28 Posted: 13 Dec 2013 Last Revised: 24 Jul 2014
Xinfu Chen and Min Dai
Independent and The Hong Kong Polytechnic University
Downloads 276 (225,826)
Citation 2

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Optimal investment and consumption, Capital gain tax, Merton problem, Continuous-time, Asymptotic expansion

33.

Convex Incentives and Liquidity Premia

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 26 Oct 2022
Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan
The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 269 (231,760)

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

34.

Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem

Number of pages: 31 Posted: 12 Dec 2005
Min Dai and Fahuai Yi
The Hong Kong Polytechnic University and South China Normal University - Department of Math
Downloads 267 (233,528)
Citation 10

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optimal investment, transaction costs, finite horizon, double obstacle problem, stochastic control, Riccati equation, portfolio selection, free boundary

35.

Pricing Jump Risk with Utility Indifference

Number of pages: 34 Posted: 21 Feb 2005
Lixin Wu and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and The Hong Kong Polytechnic University
Downloads 265 (235,314)
Citation 3

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Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation

36.

Pricing Corporate Debt with Finite Maturity and Chapter 11 Proceedings

Number of pages: 15 Posted: 06 Feb 2012 Last Revised: 11 Feb 2012
Min Dai, Lishang Jiang and Jianwei Lin
The Hong Kong Polytechnic University, Tongji University - Institute of Mathematics and Putian University - Department of Mathematics
Downloads 225 (276,395)

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corporate debt pricing, bankruptcy boundary, declaring boundary, optimal stopping time, chapter 11 bankruptcy code

37.

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Number of pages: 45 Posted: 26 Nov 2010
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), The Hong Kong Polytechnic University and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 223 (278,794)

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convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

38.

Optimal Multiple Stopping Models of Reload Options and Shout Options

Number of pages: 22 Posted: 09 May 2005 Last Revised: 12 Dec 2013
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 223 (278,794)

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employee stock options, reload feature, shout call, multiple optimal stopping, lookback options

39.

One-State Variable Binomial Models for European-/American-Style Geometric Asian Options

Quantitative Finance, Vol. 3, No. 4, pp. 288-295, 2003
Number of pages: 16 Posted: 21 Feb 2005
Min Dai
The Hong Kong Polytechnic University
Downloads 221 (281,206)

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Asian options, geometric average, one-state variable binomial model

40.

Optimal Stock Selling Based on the Global Maximum

Number of pages: 20 Posted: 23 Feb 2012
Min Dai, Zhou Yang and Yifei Zhong
The Hong Kong Polytechnic University, South China Normal University - Department of Math and University of Oxford - Mathematical Institute
Downloads 218 (284,853)

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Optimal selling strategy, global maximum, square error, variational inequality

41.

Asymptotic Analysis of Long-Term Investment with Two Illiquid and Correlated Assets

Number of pages: 33 Posted: 22 Mar 2021 Last Revised: 22 Jun 2022
Xinfu Chen, Min Dai, Wei Jiang and Cong Qin
Independent, The Hong Kong Polytechnic University, Hong Kong University of Science and Technology and Soochow University
Downloads 206 (300,442)

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42.

Strategic Investment under Uncertainty with First- and Second-mover Advantages

Number of pages: 81 Posted: 30 Dec 2022 Last Revised: 02 Dec 2023
Min Dai, Zhaoli Jiang and Neng Wang
The Hong Kong Polytechnic University, Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 205 (303,221)

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real option games, mixed strategies, probabilistic entry, wars of attrition

43.

Data-driven Option Pricing

Number of pages: 15 Posted: 08 Feb 2024
Min Dai, Hanqing Jin, Hanqing Jin and Xi Yang
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and National University of Singapore (NUS) - Department of Mathematics
Downloads 201 (307,432)

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Option pricing, data-driven, pricing kernel, deep learning, emerging derivatives markets

44.

Intensity-Based Framework and Penalty Formulation of Optimal Stopping Problems

Number of pages: 28 Posted: 28 Feb 2006
Yue Kuen Kwok, Min Dai and Hong You
Hong Kong University of Science & Technology - Department of Mathematics, The Hong Kong Polytechnic University and National University of Singapore (NUS)
Downloads 201 (307,432)
Citation 3

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linear complementarity formulation, mortgage prepayment, optimal stopping

45.

Hiring, Firing, and Relocation under Employment Protection

Number of pages: 55 Posted: 30 Oct 2014 Last Revised: 02 Apr 2015
Min Dai, Jussi Keppo and Tim A Maull
The Hong Kong Polytechnic University, National University of Singapore (NUS) - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 200 (308,794)
Citation 1

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Labor market frictions, job reallocation, stochastic control

46.

Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 48, No. 2, pp. 1134-1154, 2009
Number of pages: 20 Posted: 08 Dec 2009
Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi
The Hong Kong Polytechnic University, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
Downloads 197 (313,140)
Citation 18

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optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints, singular stochastic control

47.

A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009
Number of pages: 8 Posted: 09 Mar 2011
Min Dai and Zhou Yang
The Hong Kong Polytechnic University and South China Normal University - Department of Math
Downloads 196 (314,638)

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optimal investment and consumption, transaction costs, finite horizon

48.

Penalty Method for Portfolio Selection with Capital Gains Tax

Number of pages: 46 Posted: 24 Aug 2019 Last Revised: 05 Sep 2019
Baojun Bian, Xinfu Chen, Min Dai and Shuaijie Qian
Tongji University, Independent, The Hong Kong Polytechnic University and Department of Mathematics, HKUST
Downloads 193 (319,123)
Citation 6

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49.

A Stochastic Representation for Nonlocal Parabolic PDEs with Applications

Mathematics of Operations Research, Forthcoming
Number of pages: 32 Posted: 21 Apr 2020
Min Dai, Steven Kou and Chen Yang
The Hong Kong Polytechnic University, Boston University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 189 (325,287)

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Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs

50.

Characterization of Optimal Strategy for Multi-Asset Investment and Consumption with Transaction Costs

Number of pages: 26 Posted: 15 Nov 2012
Xinfu Chen and Min Dai
Independent and The Hong Kong Polytechnic University
Downloads 189 (325,287)
Citation 7

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portfolio selection, optimal investment and consumption, transaction costs, multiple risky assets, shape of trading and no-trading regions

51.

Characterization of Optimal Stopping Regions of American Path Dependent Options

Number of pages: 33 Posted: 03 Jan 2005
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and The Hong Kong Polytechnic University
Downloads 187 (328,376)
Citation 2

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American options, optimal stopping, Asian feature, lookback feature, monotone properties

52.

Life-time Portfolio and Consumption Choice with Defined Contribution Plans

Downloads 181 (338,319)

Life-time Portfolio and Consumption Choice with Defined Contribution Plans

Number of pages: 58 Posted: 31 May 2023 Last Revised: 18 Jan 2024
Min Dai, Shuaijie Qian, Ling Qin and Jing Xu
The Hong Kong Polytechnic University, Department of Mathematics, HKUST, The Chinese University of Hong Kong (CUHK) and Renmin University of China - School of Finance
Downloads 131 (443,932)

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Defined contribution plans, Capital gains tax, Portfolio and consumption choice, Indifference valuation, Singular stochastic control

Subjective Valuation of Defined Contribution Plans

Number of pages: 59 Posted: 22 Jun 2023
Min Dai, Ling Qin and Jing Xu
The Hong Kong Polytechnic University, affiliation not provided to SSRN and Renmin University of China
Downloads 50 (799,767)

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Defined contribution plans, Capital gains tax, Portfolio and consumption choice, Indifference valuation

53.

Valuing Employee Reload Options Under Time Vesting Requirement

Number of pages: 21 Posted: 15 Sep 2004
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and The Hong Kong Polytechnic University
Downloads 179 (341,716)
Citation 1

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employee reload option, time vesting requirement, numerical algorithm

54.

Options with Combined Reset Rights on Strike and Maturity

Number of pages: 25 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 177 (345,065)
Citation 2

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Option pricing, strike reset, maturity reset, optimal stopping

55.

Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

Forthcoming: Review of Financial Studies
Number of pages: 50 Posted: 15 Mar 2011 Last Revised: 21 Mar 2015
Min Dai, Hong Liu, Yang Chen and Yifei Zhong
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 159 (378,433)
Citation 3

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Capital Gains Tax, Tax Timing, Portfolio Selection, Asymmetric Tax Rates

56.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin, Hanqing Jin and Hong Liu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Washington University in St. Louis - Olin Business School
Downloads 158 (380,473)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

57.

Optimal Consumption and Investment with Cointegrated Stock and Housing Markets

Number of pages: 47 Posted: 02 Dec 2020
Yingshan Chen, Min Dai, Shan Huang and Hong Liu
National University of Singapore (NUS) - Department of Mathematics, The Hong Kong Polytechnic University, Georgia Institute of Technology and Washington University in St. Louis - Olin Business School
Downloads 155 (386,787)

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Nonparticipation, cointegration, housing, stock investment

58.

A Rational Theory for Disposition Effects

Review of Economic Dynamics, Forthcoming
Number of pages: 59 Posted: 08 Nov 2021 Last Revised: 09 May 2022
Min Dai, Yipeng Jiang, Hong Liu and Jing Xu
The Hong Kong Polytechnic University, National University of Singapore (NUS), Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 148 (401,889)
Citation 3

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disposition effect, portfolio rebalancing, learning, transaction costs

59.

Strategic Real Option Exercising and Second-Mover Advantage

Downloads 146 (406,274)

Strategic Real Option Exercising and Second-Mover Advantage

Number of pages: 50 Posted: 08 Jul 2022
Min Dai, Zhaoli Jiang and Neng Wang
The Hong Kong Polytechnic University, Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 137 (428,256)

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Stackelberg game, wars of attrition, real option games, mixed strategies, duopoly, separation principle, first-mover advantage, second-mover advantage

Strategic Investment Under Uncertainty with First- and Second-Mover Advantages

NBER Working Paper No. w30150
Number of pages: 82 Posted: 13 Jun 2022 Last Revised: 20 May 2023
Min Dai, Zhaoli Jiang and Neng Wang
The Hong Kong Polytechnic University, Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 9 (1,233,002)

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60.

Is Capital Gains Tax Law Biased Against Low Income Investors?

Number of pages: 43 Posted: 20 Nov 2011 Last Revised: 30 Nov 2011
Min Dai, Hong Liu and Yifei Zhong
The Hong Kong Polytechnic University, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 146 (406,274)

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Capital Gains Tax Law, Portfolio Selection, Consumption, Asymmetric Tax Rates

61.

Calibration of Local Volatility Models under the Implied Volatility Criterion

Number of pages: 26 Posted: 22 Apr 2024
Xinfu Chen, Min Dai, Chen Yang and Zhou Yang
Independent, The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and School of Mathematical Sciences, South China Normal University
Downloads 142 (417,634)

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implied volatility, inverse problem, local volatility, Tikhonov regularization

62.

Superhedging Under Ratio Constraint

Number of pages: 20 Posted: 31 Dec 2014
Yingshan Chen, Min Dai, Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics, The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 137 (427,233)

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superhedging, ratio constraint, dominating claim, counterexample

63.

Knock-In American Options

Journal of Futures Markets, Vol. 24, No. 2, pp. 179-192, 2004
Number of pages: 12 Posted: 12 Jan 2010 Last Revised: 25 Jun 2013
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 136 (429,639)
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Barrier options, American options, knock in, analytic solutions

64.

Patience is a Virtue: Optimal Investment in the Presence of Market Resilience

Number of pages: 47 Posted: 27 Dec 2023
Nan Chen, Min Dai, Qiheng Ding and Chen Yang
The Chinese University of Hong Kong (CUHK), The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 133 (437,352)

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Optimal investment, Market tightness, Market resilience, Singular control, Asymptotic expansion

65.

Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

Number of pages: 22 Posted: 08 Jan 2007
Min Dai, Lishang Jiang and Fahuai Yi
The Hong Kong Polytechnic University, Tongji University - Institute of Mathematics and South China Normal University - Department of Math
Downloads 133 (437,352)
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optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints

66.

Dynamic Mean-Variance Portfolio Selection with Transaction Costs

Number of pages: 43 Posted: 24 Oct 2024
Min Dai, Yanwei Jia, Hanqing Jin and Hanqing Jin
The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Mathematical InstituteOxford-Nie Financial Big Data Laboratory
Downloads 119 (479,745)

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portfolio selection, transaction cost, equilibrium mean-variance, time inconsistency, singular control, time-varying risk aversion

67.

Exhaustible Resources with Adjustment Costs: Spot and Futures Prices

Number of pages: 73 Posted: 26 Sep 2019
Min Dai, Steven Kou and Cong Qin
The Hong Kong Polytechnic University, Boston University and Soochow University
Downloads 110 (505,487)

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Exhaustible Resources, Exploration, Production Adjustment Costs

68.

Learning an Optimal Investment Policy with Transaction Costs via a Randomized Dynkin Game

Number of pages: 30 Posted: 26 Jun 2024
Min Dai and Yuchao Dong
The Hong Kong Polytechnic University and Tongji University
Downloads 109 (508,883)

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optimal investment, transaction cost, randomized Dynkin game, reinforcement learning

69.

A General Framework for Costly Information Transmission in Continuous Time

Number of pages: 36 Posted: 23 Jul 2010
Yizhou Cao, Min Dai and Hefei Wang
National University of Singapore (NUS), The Hong Kong Polytechnic University and University of Illinois at Chicago - Department of Finance
Downloads 100 (541,101)

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70.

Option Exercise Games and the q Theory of Investment

Number of pages: 75 Posted: 18 Dec 2024
Min Dai, Zhaoli Jiang and Neng Wang
The Hong Kong Polytechnic University, Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 93 (567,103)

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marginal q, real options, open-loop equilibria, closed-loop equilibria, duopoly

71.

Learning to Optimally Stop Diffusion Processes, with Financial Applications

Number of pages: 35 Posted: 14 Sep 2024
Min Dai, Yu Sun, Zuo Quan Xu and Xun Yu Zhou
The Hong Kong Polytechnic University, Hong Kong Polytechnic University, Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 68 (681,780)
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Optimal stopping, reinforcement learning, policy improvement, option pricing, portfolio choice

72.

Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration

Number of pages: 43 Posted: 20 Dec 2023
Min Dai, Yuchao Dong, Yanwei Jia and Xun Yu Zhou
The Hong Kong Polytechnic University, Tongji University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 43 (832,098)
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Reinforcement learning; Merton's problem; incomplete market; recursive utility; entropy regularization; Gaussian exploration; biased stochastic policy

73.

Optimal Tax-Timing with Transaction Costs

Number of pages: 40 Posted: 15 Oct 2024 Last Revised: 31 Dec 2024
Min Dai, Yaoting Lei, Hong Liu and Chen Yang
The Hong Kong Polytechnic University, Nanchang University - School of Economics and Management, Washington University in St. Louis - Olin Business School and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 39 (863,770)

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portfolio choice, capital gains tax, transaction costs, delayed tax

74.

Variational Inequality Problems in Finance

Number of pages: 35 Posted: 21 Jan 2025
Min Dai, Heqing Huang and Shuaijie Qian
The Hong Kong Polytechnic University, National University Singapore and Department of Mathematics, HKUST
Downloads 9 (1,188,609)

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variational inequality, optimal stopping, singular control, free boundary, derivatives pricing, portfolio selection, corporate finance, differential game

75.

Memory-Gated Recurrent Networks

Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21)
Posted: 01 Mar 2021
Yaquan Zhang, Qi Wu, Nanbo Peng, Min Dai, Jing Zhang and Hu Wang
affiliation not provided to SSRN, City University of Hong Kong, School of Data Science, JD Digits, The Hong Kong Polytechnic University, University of Nottingham and JD Digits

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