Min Dai

National University of Singapore

Professor

Singapore

SCHOLARLY PAPERS

67

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16,892

SSRN CITATIONS
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Top 5,357

in Total Papers Citations

104

CROSSREF CITATIONS

148

Scholarly Papers (67)

1.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
National University of Singapore, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 4,404 (2,542)
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
National University of Singapore, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,374 (17,341)
Citation 1

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Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
National University of Singapore, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 772 (39,197)
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
National University of Singapore and affiliation not provided to SSRN
Downloads 2 (800,938)
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
National University of Singapore, University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 568 (59,441)
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
National University of Singapore, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 539 (63,480)

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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
National University of Singapore, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 464 (76,437)
Citation 3

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

7.

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 National University of Singapore
Downloads 427 (84,318)
Citation 2

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

8.

American Options with Lookback Payoff

Number of pages: 22 Posted: 09 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 415 (87,108)
Citation 5

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Lookback options, American feature, free boundary value problems

9.

Calibration of Stochastic Volatility Models: An Optimal Control Approach

Number of pages: 26 Posted: 21 Oct 2012
Min Dai, Ling Tang and Xingye Yue
National University of Singapore, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 370 (99,449)

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

10.

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
National University of Singapore
Downloads 348 (106,536)

Abstract:

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

11.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
National University of Singapore, Mathematical Institute, Boston University and Soochow university
Downloads 323 (115,777)
Citation 9

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

12.

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, National University of Singapore and National University of Singapore (NUS)
Downloads 318 (117,685)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

13.

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
National University of Singapore and Tongji University - Institute of Mathematics
Downloads 269 (140,312)

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

14.

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
National University of Singapore, South China Normal University - Department of Math and University of Illinois at Chicago - Department of Finance
Downloads 265 (142,486)
Citation 2

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15.

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 and University of Oxford - Mathematical Institute
Downloads 254 (148,652)
Citation 18

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16.

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 and University of Oxford - Mathematical Institute
Downloads 250 (151,047)
Citation 3

Abstract:

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

17.

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
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 244 (154,605)
Citation 7

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

18.

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
National University of Singapore, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 243 (155,219)

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disposition effect, portfolio rebalancing, learning, transaction costs

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: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore, 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 134 (262,848)
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
National University of Singapore, 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 108 (307,814)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

20.

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
National University of Singapore, Georgia Institute of Technology and National University of Singapore - NUS Business School
Downloads 228 (165,065)
Citation 2

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

21.

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 National University of Singapore
Downloads 212 (176,864)
Citation 3

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

22.

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 National University of Singapore
Downloads 187 (198,407)
Citation 2

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

23.

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
National University of Singapore and South China Normal University - Department of Math
Downloads 186 (199,293)
Citation 10

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

24.

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
National University of Singapore
Downloads 182 (203,142)

Abstract:

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

25.

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
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 172 (213,288)

Abstract:

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

26.

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, South China Normal University - Department of Math and University of Oxford - Mathematical Institute
Downloads 169 (216,574)

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

27.

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), National University of Singapore and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 166 (219,842)

Abstract:

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

28.

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 National University of Singapore
Downloads 158 (229,234)
Citation 2

Abstract:

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

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, National University of Singapore, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 147 (243,365)
Citation 1

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

30.

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
National University of Singapore and South China Normal University - Department of Math
Downloads 146 (244,717)

Abstract:

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optimal investment and consumption, transaction costs, finite horizon

31.

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 National University of Singapore
Downloads 143 (248,810)
Citation 1

Abstract:

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employee reload option, time vesting requirement, numerical algorithm

32.

Options with Combined Reset Rights on Strike and Maturity

Number of pages: 25 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 143 (248,810)
Citation 2

Abstract:

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Option pricing, strike reset, maturity reset, optimal stopping

33.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
National University of Singapore, Mathematical Institute, Boston University and Soochow university
Downloads 135 (260,398)
Citation 1

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robo-advising, mean-variance, asset allocation

34.

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, National University of Singapore and National University of Singapore (NUS)
Downloads 132 (264,829)
Citation 3

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linear complementarity formulation, mortgage prepayment, optimal stopping

35.

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
National University of Singapore, Tongji University - Institute of Mathematics and Putian University - Department of Mathematics
Downloads 131 (266,326)

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

36.

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
National University of Singapore, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 128 (270,996)

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Labor market frictions, job reallocation, stochastic control

37.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019 Last Revised: 03 Sep 2019
National University of Singapore, Boston University, National University of Singapore (NUS) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 126 (274,276)
Citation 2

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

38.

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 National University of Singapore
Downloads 124 (277,571)
Citation 7

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

39.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin and Hong Liu
National University of Singapore, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 120 (284,361)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

40.

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, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 108 (306,045)

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

41.

Designing Stable Coins

Number of pages: 47 Posted: 07 Jun 2021
Tau Strategy, National University of Singapore, Boston University, FinBook and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 107 (312,011)

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

42.

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
National University of Singapore, Tongji University - Institute of Mathematics and South China Normal University - Department of Math
Downloads 96 (330,852)
Citation 2

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

43.

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
National University of Singapore, Columbia University - Department of Industrial Engineering and Operations Research and Boston University
Downloads 94 (335,374)

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prediction markets, public opinion polls, information aggregation

44.

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, National University of Singapore and National University of Singapore (NUS)
Downloads 93 (337,643)
Citation 2

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45.

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
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 93 (337,643)
Citation 1

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Barrier options, American options, knock in, analytic solutions

46.

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
National University of Singapore, Hong Kong University of Science and Technology, Boston University and Center for Financial Engineering
Downloads 92 (339,937)

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

47.

Superhedging Under Ratio Constraint

Number of pages: 20 Posted: 31 Dec 2014
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore, National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 92 (339,937)

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superhedging, ratio constraint, dominating claim, counterexample

48.

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
National University of Singapore, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
Downloads 92 (339,937)
Citation 7

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

49.

Convex Incentives and Liquidity Premia

Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 09 Apr 2021
National University of Singapore, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 85 (357,048)
Citation 1

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

50.

Learning Equilibrium Mean-Variance Strategy

Number of pages: 51 Posted: 12 Mar 2021
Min Dai, Yuchao Dong and Yanwei Jia
National University of Singapore, Tongji University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 75 (384,095)
Citation 2

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

51.

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
National University of Singapore, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 75 (384,095)
Citation 3

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

52.

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
National University of Singapore, Boston University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 73 (389,816)

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

53.

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), National University of Singapore and University of Illinois at Chicago - Department of Finance
Downloads 71 (395,841)

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A q Theory of Internal Capital Markets

Number of pages: 61 Posted: 09 Dec 2020
National University of Singapore, Columbia Business School - Finance and Economics, Hong Kong University of Science and Technology and Columbia Business School - Finance and Economics
Downloads 59 (441,838)

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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: 63 Posted: 14 Oct 2020 Last Revised: 26 Apr 2021
National University of Singapore, Columbia Business School - Finance and Economics, Hong Kong University of Science and Technology and Columbia Business School - Finance and Economics
Downloads 6 (764,161)
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A Q Theory of Internal Capital Markets

CEPR Discussion Paper No. DP15341
Number of pages: 64 Posted: 03 Nov 2020
National University of Singapore, Columbia Business School - Finance and Economics, Hong Kong University of Science and Technology and Columbia Business School - Finance and Economics
Downloads 2 (800,938)
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55.

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
National University of Singapore, Boston University and National University of Singapore (NUS) - Risk Management Institute
Downloads 62 (424,899)

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

56.

Optimal Tax-Timing Strategy in the Presence of Transaction Costs

Number of pages: 36 Posted: 05 Jan 2021
Min Dai, Yaoting Lei and Hong Liu
National University of Singapore, Nanchang University - School of Economics and Management and Washington University in St. Louis - Olin Business School
Downloads 53 (457,481)
Citation 1

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

57.

Exhaustible Resources with Adjustment Costs: Spot and Futures Prices

Number of pages: 73 Posted: 26 Sep 2019
Min Dai, Steven Kou and Cong Qin
National University of Singapore, Boston University and Center for Financial Engineering
Downloads 50 (469,217)

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Exhaustible Resources, Exploration, Production Adjustment Costs

58.

Leveraged ETFs with Market Closure and Frictions

Number of pages: 50 Posted: 07 Jun 2021
National University of Singapore, 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 48 (477,212)

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daily rebalancing, leveraged ETFs, market closure, frictions

59.

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, National University of Singapore, Georgia Institute of Technology and Washington University in St. Louis - Olin Business School
Downloads 40 (512,686)

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Nonparticipation, cointegration, housing, stock investment

60.

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

Number of pages: 28 Posted: 22 Mar 2021 Last Revised: 20 Apr 2021
Xinfu Chen, Min Dai, Wei Jiang and Cong Qin
Independent, National University of Singapore, Hong Kong University of Science and Technology and Center for Financial Engineering
Downloads 38 (522,163)

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61.

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
National University of Singapore and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 20 (628,747)
Citation 2
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62.

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
National University of Singapore, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (635,725)
Citation 1
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63.

Quanto Lookback Options

Number of pages: 23 Posted: 13 Aug 2004
National University of Singapore, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 17 (649,861)
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Lookback options, quanto feature, early exercise policies

64.

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 and University of Oxford - Mathematical Institute
Downloads 3 (757,243)
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optimal selling/buying strategy, ultimate average, time‐vesting

65.

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
National University of Singapore and The Hong Kong Polytechnic University
Downloads 2 (766,769)
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stock loans, finite maturity, optimal strategy, optimal stopping

66.

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), National University of Singapore and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 1 (778,264)
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

67.

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, National University of Singapore, affiliation not provided to SSRN and JD Digits

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