Min Dai

The Hong Kong Polytechnic University

  • The Hong Kong Polytechnic University

SCHOLARLY PAPERS

67

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Scholarly Papers (67)

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1.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
The Hong Kong Polytechnic University, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 5,063 (3,109)
Citation 6

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trend following trading rule, bull-bear switching model, partial information, HJB equations

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 2,327 (11,073)
Citation 1

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3.

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 824 (51,998)
Citation 5

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

4.

Designing Stable Coins

Number of pages: 50 Posted: 07 Jun 2021 Last Revised: 25 Sep 2022
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 766 (57,315)
Citation 4

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stable coins, fixed income crypto assets, leveraged return crypto assets, smart contracts

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 631 (73,728)
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 608 (77,161)
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 533 (91,009)
Citation 16

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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 530 (91,630)
Citation 2

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

9.

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 458 (109,337)
Citation 2

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

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 447 (112,458)

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

11.

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 441 (114,228)
Citation 5

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Lookback options, American feature, free boundary value problems

12.

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 404 (126,531)

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

13.

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 369 (140,112)
Citation 28

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14.

Bitcoin Mining, Electricity Consumption, and Climate Damages

Number of pages: 40 Posted: 08 Feb 2022 Last Revised: 17 Apr 2023
Min Dai, Steven Kou, Shuaijie Qian and Ling Qin
The Hong Kong Polytechnic University, Boston University, Department of Mathematics, HKUST and Hong Kong University of Science & Technology (HKUST) - Dept. of Industrial Engineering and Decision Analytics
Downloads 360 (143,960)
Citation 1

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Industry Equilibrium, Bitcoin Mining, Electricity Consumption, Climate Damages

15.

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 349 (149,360)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

16.

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 345 (150,760)
Citation 3

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

17.

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 344 (151,255)
Citation 3

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

18.

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 330 (158,124)

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

19.

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 318 (164,482)
Citation 2

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20.

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Downloads 299 (176,074)
Citation 15

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 166 (307,537)
Citation 17

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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 133 (367,188)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

21.

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 296 (178,011)
Citation 1

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robo-advising, mean-variance, asset allocation

22.

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 294 (178,641)

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

23.

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 Business School
Downloads 284 (185,130)
Citation 3

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

24.

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 283 (185,784)
Citation 3

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

25.

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 272 (193,476)

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disposition effect, portfolio rebalancing, learning, transaction costs

26.

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 271 (194,175)
Citation 7

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

27.

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 265 (198,588)

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daily rebalancing, leveraged ETFs, market closure, frictions

28.

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 245 (215,379)
Citation 2

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prediction markets, public opinion polls, information aggregation

29.

A q Theory of Internal Capital Markets

Downloads 244 (215,379)
Citation 2

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 221 (236,292)

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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 21 (901,103)
Citation 2

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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 2 (1,084,536)
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30.

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 244 (215,379)
Citation 3

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

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 242 (217,145)
Citation 3

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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 242 (217,145)
Citation 2

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

33.

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 242 (217,145)
Citation 10

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

34.

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 211 (247,371)

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

35.

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 208 (251,707)

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

36.

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 198 (262,139)

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

37.

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 196 (264,525)

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

38.

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 190 (272,038)

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

39.

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 181 (283,887)

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optimal investment and consumption, transaction costs, finite horizon

40.

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 180 (285,285)
Citation 3

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linear complementarity formulation, mortgage prepayment, optimal stopping

41.

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 175 (292,391)
Citation 2

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

42.

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 169 (301,285)
Citation 6

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43.

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 168 (302,775)

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

44.

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 Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 166 (305,918)
Citation 1

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Labor market frictions, job reallocation, stochastic control

45.

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 163 (310,703)
Citation 1

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employee reload option, time vesting requirement, numerical algorithm

46.

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 163 (310,703)
Citation 2

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Option pricing, strike reset, maturity reset, optimal stopping

47.

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 162 (312,372)

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

48.

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 157 (320,752)
Citation 7

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

49.

Dynamic Trading with Realization Utility

Downloads 155 (331,296)

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 155 (331,717)

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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
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50.

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 150 (333,138)
Citation 9

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

51.

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 147 (338,648)

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52.

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 142 (350,028)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

53.

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 127 (379,181)

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Nonparticipation, cointegration, housing, stock investment

54.

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 127 (379,181)

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

55.

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 125 (383,827)
Citation 1

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Barrier options, American options, knock in, analytic solutions

56.

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 124 (386,155)

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superhedging, ratio constraint, dominating claim, counterexample

57.

Optimal Tax-Timing Strategy in the Presence of Transaction Costs

Number of pages: 39 Posted: 05 Jan 2021 Last Revised: 24 Jun 2022
Min Dai, Yaoting Lei and Hong Liu
The Hong Kong Polytechnic University, Nanchang University - School of Economics and Management and Washington University in St. Louis - Olin Business School
Downloads 122 (390,869)
Citation 1

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portfolio choice, capital gains tax, transaction costs, year-end tax

58.

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 122 (390,869)
Citation 3

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

59.

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, The Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 121 (393,296)

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

60.

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 117 (402,986)
Citation 2

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

61.

Strategic Real Option Exercising and Second-Mover Advantage

Downloads 111 (418,795)

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, The Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 107 (432,530)

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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: 57 Posted: 13 Jun 2022 Last Revised: 20 May 2023
Min Dai, Zhaoli Jiang and Neng Wang
The Hong Kong Polytechnic University, The Hong Kong Polytechnic University and Columbia University - Columbia Business School, Finance
Downloads 4 (1,069,153)
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62.

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 110 (421,518)
Citation 2

Abstract:

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disposition effect, portfolio rebalancing, learning, transaction costs

63.

Top Incomes and Income Inequality Indices: A Unified Framework Based on Inequality Index Curves

Number of pages: 53 Posted: 08 Aug 2017 Last Revised: 28 Sep 2019
Min Dai, Steven Kou and Hui Shao
The Hong Kong Polytechnic University, Boston University and National University of Singapore (NUS) - Risk Management Institute
Downloads 99 (457,028)

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income inequality, top incomes, Gini coefficient, weighted expected utility theory

64.

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 89 (486,092)

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65.

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 87 (492,965)

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Exhaustible Resources, Exploration, Production Adjustment Costs

66.

Subjective Valuation of Defined Contribution Plans

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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 33 (793,363)

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

Subjective Valuation of Defined Contribution Plans

Number of pages: 59 Posted: 31 May 2023
Min Dai, Ling Qin and Jing Xu
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology (HKUST) - Dept. of Industrial Engineering and Decision Analytics and Renmin University of China - School of Finance
Downloads 29 (826,844)

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

67.

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

Abstract:

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