Articles with public access mandates - Min DaiLearn more
Available somewhere: 21
A dynamic mean-variance analysis for log returns
M Dai, H Jin, S Kou, Y Xu
Management Science 67 (2), 1093–1108, 2021
Mandates: National Natural Science Foundation of China
Portfolio selection with capital gains tax, recursive utility, and regime switching
J Cai, X Chen, M Dai
Management Science 64 (5), 2308-2324, 2018
Mandates: US National Science Foundation, National Natural Science Foundation of China
A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls
N Chen, M Dai, X Wan
Mathematical Finance 23 (1), 57-93, 2013
Mandates: Research Grants Council, Hong Kong
Optimal trend following trading rules
M Dai, Q Zhang, QJ Zhu
Mathematics of Operations Research 41 (2), 626-642, 2016
Mandates: National Natural Science Foundation of China
Learning equilibrium mean-variance strategy
M Dai, Y Dong, Y Jia
Mathematical Finance 33 (4), 1166-1212, 2023
Mandates: National Natural Science Foundation of China, Research Grants Council, Hong Kong
Opaque bank assets and optimal equity capital
M Dai, S Huang, J Keppo
Journal of Economic Dynamics & Control 100 (3), 369-394, 2019
Mandates: National Natural Science Foundation of China
A q Theory of Internal Capital Markets
M Dai, X Giroud, W Jiang, N Wang
Journal of Finance 79 (2), 1147-1197, 2024
Mandates: Research Grants Council, Hong Kong
A rational theory for disposition effects
M Dai, Y Jiang, H Liu, J Xu
Review of Economic Dynamics 47, 131-157, 2023
Mandates: National Natural Science Foundation of China
Non-Concave Utility Maximization with Portfolio Bounds
M Dai, S Kou, S Qian, X Wan
Management Science 68 (11), 8368–8385, 2022
Mandates: National Natural Science Foundation of China
The Wisdom of the Crowd and Prediction Markets
SK Min Dai, Yanwei Jia
Journal of Econometrics 222 (1), 561-578, 2021
Mandates: National Natural Science Foundation of China
How Does Illiquidity Affect Delegated Portfolio Choice?
M Dai, L Goncalves-Pinto, J Xu
Journal of Financial and Quantitative Analysis 54 (2), 539-585, 2019
Mandates: National Natural Science Foundation of China
Robo-advising: A dynamic mean-variance approach
M Dai, H Jin, S Kou, Y Xu
Digital Finance 3, 81-97, 2021
Mandates: National Natural Science Foundation of China
Penalty method for portfolio selection with capital gains tax
B Bian, X Chen, M Dai, S Qian
Mathematical Finance 31 (3), 1013–1055, 2021
Mandates: National Natural Science Foundation of China
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
Mandates: National Natural Science Foundation of China
Leveraged Exchange-Traded Funds with Market Closure and Frictions
M Dai, S Kou, HM Soner, C Yang
Management Science 69 (4), 2517-2545, 2023
Mandates: US National Science Foundation, National Natural Science Foundation of China
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
Mandates: National Natural Science Foundation of China, Research Grants Council, Hong Kong
Optimal Tax-Timing Strategy in the Presence of Transaction Costs
M Dai, Y Lei, H Liu
Available at SSRN 3714293, 2020
Mandates: National Natural Science Foundation of China
Exhaustible Resources with Adjustment Costs: Spot and Futures Prices
M Dai, S Kou, C Qin
Available at SSRN 3459830, 2019
Mandates: National Natural Science Foundation of China
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
CY Min Dai, Steven Kou
Mathematics of Operations Research 47 (3), 1707-1730, 2022
Mandates: National Natural Science Foundation of China
Superhedging under ratio constraint
Y Chen, M Dai, J Xu, M Xu
Journal of Economic Dynamics and Control 58, 250-264, 2015
Mandates: National Natural Science Foundation of China
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