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Min Dai
Title
Cited by
Year
Dynamic Trading with Realization Utility
M Dai, C Qin, N Wang
Journal of Finance, forthcoming, 2024
6*2024
Variational inequality problems in finance
M Dai, S Qian, H Huang
SCIENTIA SINICA Mathematica 54 (3), 1-22, 2024
2024
A q Theory of Internal Capital Markets
M Dai, X Giroud, W Jiang, N Wang
Journal of Finance 79 (2), 1147-1197, 2024
142024
Patience is a Virtue: Optimal Investment in the Presence of Market Resilience
N Chen, M Dai, Q Ding, C Yang
Available at SSRN 4671774, 2023
2023
Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration
M Dai, Y Dong, Y Jia, XY Zhou
arXiv preprint arXiv:2312.11797, 2023
62023
Subjective Valuation of Defined Contribution Plans
M Dai, L Qin, J Xu
Available at SSRN 4462297, 2023
2023
Learning equilibrium mean-variance strategy
M Dai, Y Dong, Y Jia
Mathematical Finance 33 (4), 1166-1212, 2023
222023
Leveraged Exchange-Traded Funds with Market Closure and Frictions
M Dai, S Kou, HM Soner, C Yang
Management Science 69 (4), 2517-2545, 2023
7*2023
A rational theory for disposition effects
M Dai, Y Jiang, H Liu, J Xu
Review of Economic Dynamics 47, 131-157, 2023
13*2023
Strategic Investment under Uncertainty with First-and Second-mover Advantages
M Dai, Z Jiang, N Wang
Available at SSRN 4314258, 2022
3*2022
Asymptotic analysis of long-term investment with two illiquid and correlated assets
X Chen, M Dai, W Jiang, C Qin
Mathematical Finance 32 (4), 1133-1169, 2022
42022
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
CY Min Dai, Steven Kou
Mathematics of Operations Research 47 (3), 1707-1730, 2022
22022
Non-Concave Utility Maximization with Portfolio Bounds
M Dai, S Kou, S Qian, X Wan
Management Science 68 (11), 8368–8385, 2022
13*2022
Robo-advising: A dynamic mean-variance approach
M Dai, H Jin, S Kou, Y Xu
Digital Finance 3, 81-97, 2021
102021
The Wisdom of the Crowd and Prediction Markets
SK Min Dai, Yanwei Jia
Journal of Econometrics 222 (1), 561-578, 2021
132021
Penalty method for portfolio selection with capital gains tax
B Bian, X Chen, M Dai, S Qian
Mathematical Finance 31 (3), 1013–1055, 2021
102021
Incomplete Information and the Liquidity Premium Puzzle
Y Chen, M Dai, L Goncalves-Pinto, J Xu, C Yan
Management Science 67 (9), 5703-5729, 2021
82021
A dynamic mean-variance analysis for log returns
M Dai, H Jin, S Kou, Y Xu
Management Science 67 (2), 1093–1108, 2021
842021
Optimal Tax-Timing Strategy in the Presence of Transaction Costs
M Dai, Y Lei, H Liu
Available at SSRN 3714293, 2020
42020
Optimal Consumption and Investment with Cointegrated Stock and Housing Markets
Y Chen, M Dai, S Huang, H Liu
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3714296, 2020
2*2020
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Articles 1–20