Yifei Zhong

University of Oxford - Mathematical Institute

Mathematical Institute

24-29 St Giles

Oxford, Oxfordshire OX1 3LB

United Kingdom

University of Oxford - Mathematical Institute

24-29 St Giles'

Oxford, OX1 3LB

United Kingdom

SCHOLARLY PAPERS

8

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1,704

CITATIONS
Rank 17,289

SSRN RANKINGS

Top 17,289

in Total Papers Citations

28

Scholarly Papers (8)

1.

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
National University of Singapore (NUS) - Department of Mathematics, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 515 (52,647)
Citation 6

Abstract:

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index arbitrage, optimal stopping, transaction costs, position limits

2.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 430 (65,852)
Citation 4

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

3.

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

Number of pages: 16 Posted: 28 Jul 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 230 (131,247)
Citation 1

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

4.

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

Number of pages: 25 Posted: 07 Aug 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 205 (146,483)
Citation 21

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5.

Optimal Stock Selling Based on the Global Maximum

Number of pages: 20 Posted: 23 Feb 2012
Min Dai, Zhou Yang and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math and University of Oxford - Mathematical Institute
Downloads 162 (180,939)

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

6.

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
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 101 (260,165)

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

7.

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
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 58 (358,154)
Citation 3

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

8.

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
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 3 (621,025)
Citation 3
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optimal selling/buying strategy, ultimate average, timeā€vesting