Y.C. Chen, G. Hu; Learning by Matching. Theoretical Economics, (2019), forthcoming.
M. Dai , H. Jin, S. Kou, Y. Xu; A Dynamic Mean-Variance Analysis for Log Returns. Management Science, (2019), forthcoming.
W. He, Y.N. Sun; Dynamic Games with (Almost) Perfect Information. Theoretical Economics, (2019), forthcoming.
Y.C. Chen, W. He, J. Li, Y.N. Sun; Equivalence of Stochastic and Deterministic Mechanisms, Econometrica, 87 (2019), 1367-1390.
M. Dai, L. Goncalves-Pinto, J. Xu; How Does Illiquidity Affect Delegated Portfolio Choice? Journal of Financial and Quantitative Analysis, 54 (2019), 539-585.
W. He, Y.N. Sun; Pure-Strategy Equilibria in Bayesian Games, Journal of Economic Theory, 180 (2019), 11-49.
J. Cai, X. Chen, M. Dai; Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching. Management Science, 64 (2018), 2308-2324.
V. Babich, J. Handley, J. Ning, J. Keppo; Risk-Aversion and B2B Contracting under Asymmetric Information: Evidence from Managed Print Services. Operations Research, 66 (2018), 392-408.
J. Keppo, J. Korte; Risk Targeting and Policy Illusions - Evidence from the Announcement of the Volcker Rule. Management Science, 64 (2018), 215-234.
N. Chen, S. Kou, C. Wang; A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science, 64 (2018), 784-803.
S. Kou, X.H. Peng, H. Zhong; Asset Pricing with Spatial Interaction. Management Science, 64 (2018), 2083-2101.
D. Duffie, L. Qiao, Y.N. Sun; Dynamic Directed Random Matching. Journal of Economic Theory, 174 (2018), 124-183.
S. Kou, C. Yu, H. Zhong; Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Management Science, 63 (2017), 988-1010.
M. Dai, P.F. Li, H. Liu, Y. Wang; Portfolio Choice with Market Closure and Implications for Liquidity Premia. Management Science, 62 (2016), 368-386.
J.C. Duan; Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure. Journal of Econometrics, 192 (2016), 349-359.
J.C. Duan, W. Miao; Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics, 34 (2016), 536-546.
S. Kou, X.H. Peng; On the Measurement of Economic Tail Risk. Operations Research, 64 (2016), 1056-1072.
A. Bensoussan, B.G. Jang, S. Park; Unemployment Risks and Optimal Retirement in an Incomplete Market. Operations Research, 64 (2016), 1015-1032.
M. Dai, H. Liu, C. Yang, Y.F. Zhong; Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax. Review of Financial Studies, 29 (2015), 2687-2721.
J.C. Duan, A. Fulop; Density-Tempered Marginalized Sequential Monte Carlo Samplers. Journal of Business and Economic Statistics, 33 (2015), 192-202.
N. Cai, S. Kou, Y. Song; A General Framework for Pricing Asian Options under Markov Processes. Operations Research, 63 (2015), 540-554.