Min Dai

The Hong Kong Polytechnic University

National University of Singapore

Professor

Singapore

SCHOLARLY PAPERS

71

DOWNLOADS
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19,585

SSRN CITATIONS
Rank 5,265

SSRN RANKINGS

Top 5,265

in Total Papers Citations

104

CROSSREF CITATIONS

149

Scholarly Papers (71)

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 4,706 (2,746)
Citation 6

Abstract:

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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
The Hong Kong Polytechnic University, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,671 (15,071)
Citation 1

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Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 788 (44,178)
Citation 5

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

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Mathematical Finance, Vol. 18, Issue 4, pp. 595-611, October 2008
Number of pages: 17 Posted: 19 Sep 2008
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and affiliation not provided to SSRN
Downloads 2 (915,750)
Citation 8

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4.

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
The Hong Kong Polytechnic University, University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 594 (64,699)
Citation 1

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Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity

5.

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 561 (69,569)

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index arbitrage, optimal stopping, transaction costs, position limits

6.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
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 494 (81,430)
Citation 3

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

7.

Designing Stable Coins

Number of pages: 47 Posted: 07 Jun 2021
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 464 (88,495)

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

8.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 439 (93,625)
Citation 10

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

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 435 (94,641)
Citation 2

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

10.

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 425 (97,260)
Citation 5

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Lookback options, American feature, free boundary value problems

11.

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 affiliation not provided to SSRN
Downloads 382 (109,933)

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

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 379 (110,911)

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

13.

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 325 (131,278)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

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 301 (142,246)
Citation 18

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15.

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 294 (145,693)
Citation 2

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16.

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 275 (155,949)

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

17.

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 262 (163,840)
Citation 3

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

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 141 (284,854)
Citation 12

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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 115 (331,880)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

19.

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 250 (171,556)
Citation 2

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

20.

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 250 (171,556)

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disposition effect, portfolio rebalancing, learning, transaction costs

21.

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 248 (172,851)
Citation 7

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

22.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019 Last Revised: 03 Sep 2019
The Hong Kong Polytechnic University, Boston University, National University of Singapore (NUS) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 225 (189,647)
Citation 3

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

23.

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 219 (194,735)
Citation 3

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

24.

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 215 (198,030)

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

25.

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 208 (204,311)
Citation 2

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

26.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 207 (205,217)
Citation 1

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robo-advising, mean-variance, asset allocation

27.

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 198 (213,609)
Citation 10

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

28.

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 188 (223,637)

Abstract:

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

29.

Incomplete Information and the Liquidity Premium Puzzle

Management Science, forthcoming
Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 27 May 2020
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 186 (225,672)
Citation 1

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

30.

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 183 (228,924)

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

31.

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 175 (237,861)

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

32.

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 175 (237,861)

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

33.

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 163 (252,506)
Citation 2

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

34.

Bitcoin Mining and Electricity Consumption

Number of pages: 41 Posted: 08 Feb 2022
The Hong Kong Polytechnic University, Boston University, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Mathematics
Downloads 162 (253,870)

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Industry Equilibrium, Singular Control, Computing Power.

35.

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 158 (259,232)

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optimal investment and consumption, transaction costs, finite horizon

36.

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 154 (264,628)
Citation 3

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linear complementarity formulation, mortgage prepayment, optimal stopping

37.

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 148 (273,250)
Citation 1

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employee reload option, time vesting requirement, numerical algorithm

38.

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 148 (273,250)
Citation 2

Abstract:

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Option pricing, strike reset, maturity reset, optimal stopping

39.

Learning Equilibrium Mean-Variance Strategy

Number of pages: 51 Posted: 12 Mar 2021
Min Dai, Yuchao Dong and Yanwei Jia
The Hong Kong Polytechnic University, Tongji University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 138 (288,644)
Citation 2

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

40.

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 138 (288,644)

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

41.

Leveraged ETFs with Market Closure and Frictions

Number of pages: 50 Posted: 07 Jun 2021
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 136 (291,949)

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daily rebalancing, leveraged ETFs, market closure, frictions

42.

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 135 (293,582)
Citation 7

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

A q Theory of Internal Capital Markets

Number of pages: 61 Posted: 09 Dec 2020
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 121 (320,106)

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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 2022
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 10 (820,645)

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A Q Theory of Internal Capital Markets

CEPR Discussion Paper No. DP15341
Number of pages: 64 Posted: 03 Nov 2020
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 (915,750)
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44.

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, Columbia University - Department of Industrial Engineering and Operations Research and Boston University
Downloads 132 (298,636)

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prediction markets, public opinion polls, information aggregation

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 Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 131 (300,335)

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Labor market frictions, job reallocation, stochastic control

46.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Washington University in St. Louis - Olin Business School
Downloads 123 (314,824)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

47.

Penalty Method for Portfolio Selection with Capital Gains Tax

Number of pages: 46 Posted: 24 Aug 2019 Last Revised: 05 Sep 2019
Tongji University, Independent, The Hong Kong Polytechnic University and National University of Singapore (NUS)
Downloads 119 (322,260)
Citation 2

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48.

Convex Incentives and Liquidity Premia

Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 24 Mar 2022
The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 116 (328,083)
Citation 1

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

49.

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 111 (338,464)

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

50.

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 106 (349,116)

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

51.

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
The Hong Kong Polytechnic University, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
Downloads 103 (355,809)
Citation 8

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

52.

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 102 (358,125)
Citation 1

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Barrier options, American options, knock in, analytic solutions

53.

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 102 (358,125)
Citation 2

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

54.

Superhedging Under Ratio Constraint

Number of pages: 20 Posted: 31 Dec 2014
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 97 (369,943)

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superhedging, ratio constraint, dominating claim, counterexample

55.

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 90 (387,640)

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56.

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
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 87 (395,700)
Citation 3

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

57.

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 77 (425,017)

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disposition effect, portfolio rebalancing, learning, transaction costs

58.

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 73 (437,569)
Citation 1

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

59.

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 73 (437,569)

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60.

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 72 (440,812)

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

61.

Optimal Consumption and Investment with Cointegrated Stock and Housing Markets

Number of pages: 47 Posted: 02 Dec 2020
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 65 (464,919)

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Nonparticipation, cointegration, housing, stock investment

62.

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 61 (479,877)

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Exhaustible Resources, Exploration, Production Adjustment Costs

Portfolio Rebalancing with Realization Utility

Columbia Business School Research Paper Forthcoming
Number of pages: 50 Posted: 30 Jan 2022 Last Revised: 07 Mar 2022
Min Dai, Cong Qin and Neng Wang
The Hong Kong Polytechnic University, Soochow University and Columbia University - Columbia Business School, Finance
Downloads 47 (548,700)

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prospect theory; loss aversion; option value; disposition effect

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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Strategic Real Option Exercising and Second-Mover Advantage

Number of pages: 50 Posted: 08 Jul 2022
Min Dai, Zhao Li Jiang and Neng Wang
The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Columbia University - Columbia Business School, Finance
Downloads 29 (653,967)

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

Strategic Real Option Exercising and Second-Mover Advantage

NBER Working Paper No. w30150
Number of pages: 51 Posted: 13 Jun 2022 Last Revised: 27 Jun 2022
Min Dai, Zhao Li Jiang and Neng Wang
The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Columbia University - Columbia Business School, Finance
Downloads 1 (932,336)
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65.

Quanto Lookback Options

Number of pages: 23 Posted: 13 Aug 2004
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 24 (671,882)

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Lookback options, quanto feature, early exercise policies

66.

Characterization of Optimal Stopping Regions of American Asian and Lookback Options

Mathematical Finance, Vol. 16, No. 1, pp. 63-82, January 2006
Number of pages: 20 Posted: 21 Jun 2006
Min Dai and Yue Kuen Kwok
The Hong Kong Polytechnic University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 21 (694,890)
Citation 2

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67.

Optimal Shouting Policies of Options with Strike Reset Right

Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
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68.

A Nonzero‐Sum Game Approach to Convertible Bonds: Tax Benefit, Bankruptcy Cost, and Early/Late Calls

Mathematical Finance, Vol. 23, Issue 1, pp. 57-93, 2013
Number of pages: 37 Posted: 10 Jan 2013
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
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

69.

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

Mathematical Finance, Vol. 22, Issue 1, pp. 165-184, 2012
Posted: 21 Jan 2012
Min Dai and Yifei Zhong
The Hong Kong Polytechnic University and University of Oxford - Mathematical Institute
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optimal selling/buying strategy, ultimate average, time‐vesting

70.

Optimal Redeeming Strategy of Stock Loans with Finite Maturity

Mathematical Finance, Vol. 21, Issue 4, pp. 775-793, 2011
Number of pages: 19 Posted: 23 Aug 2011
Min Dai and Zuo Quan Xu
The Hong Kong Polytechnic University and Hong Kong Polytechnic University
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stock loans, finite maturity, optimal strategy, optimal stopping

71.

Memory-Gated Recurrent Networks

Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21)
Posted: 01 Mar 2021
affiliation not provided to SSRN, City University of Hong Kong, School of Data Science, affiliation not provided to SSRN, The Hong Kong Polytechnic University, University of Nottingham and JD Digits

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