Updated nonconcave paper and conference.

index.html

@@ -84,8 +84,20 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
 
 <h3>Selected Publications</h3>
 <ul style="list-style-type:square">
+    <li><b>Non-Concave Utility Maximization with Transaction Costs</b> (with <a href="https://sites.google.com/view/shuaijie-qian" target="_blank">Shuaijie Qian</a>).<br>
+        submitted. [<a href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4500965" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2307.02178" target="_blank">arXiv</a>]<br>
+        <div style="display:none" id="abs_NonconcaveTC">
+        <hr>
+        <i>This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs. The commonly used concavification principle for terminal value is no longer valid here, and we establish a proper theoretical characterization of this problem. We first give the asymptotic terminal behavior of the value function, which implies any transaction close to maturity only provides a marginal contribution to the utility. After that, the theoretical foundation is established in terms of a novel definition of the viscosity solution incorporating our asymptotic terminal condition. Via numerical analyses, we find that the introduction of transaction costs into non-concave utility maximization problems can prevent the portfolio from unbounded leverage and make a large short position in stock optimal despite a positive risk premium and symmetric transaction costs.</i>
+        </div>
+    </li><br>
+
     <li><b>Optimal Investment under Block-Shaped Order Books</b> (with <a href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br>
-    working paper.
+    working paper. [<a href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>]<br>
+        <div style="display:none" id="abs_LOB">
+        <hr>
+        <i>We study an optimal investment problem of a CARA investor trading in a market operated with a block-shaped limited order book (LOB). The model synergizes three key features of market microstructure: the bid-ask spread, the market depth, and a finite market resilience. Under a Bachelier process for the dynamic of the fundamental value of the asset, we develop explicit characterization on the investor’s optimal trading strategy. As an important extension of this model, an asymptotic expansion of the optimal trading strategies in the presence of return-predicting signals are also derived. The theoretical and numerical results unveil how an investor should strike a balance among several competing goals such as achieving the optimal risk exposure currently, incorporating signals about the future, and minimizing trading costs. Contributing to the existing literature, our model helps to quantify significant impacts of the market resilience on the trading decisions. </i>
+        </div>
     </li><br>
 
     <li><b>Designing Stable Coins</b> (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br>
@@ -105,7 +117,7 @@ target="_blank">arXiv</a>|<a href="https://pubsonline.informs.org/doi/abs/10.128
         </div>
     </li><br>
 
-    <li><b>Leveraged ETFs with Market Closure and Frictions</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
+    <li><b>Leveraged Exchange-Traded Funds with Market Closure and Frictions</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
         <i>Management Science</i>, 69(4):1935-2545, 2023. [<a href="" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856573" target="_blank">SSRN</a>|<a href="https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.4407" target="_blank">Article</a>]<br>
         <div style="display:none" id="abs_LETF">
         <hr>
@@ -149,8 +161,13 @@ target="_blank">arXiv</a>|<a href="https://pubsonline.informs.org/doi/abs/10.128
 <h3>Professional Service</h3>
 <ul style="list-style-type:square">
     <li> <b>Associate Editor:</b> <a href="https://www.springer.com/journal/42521" target="_blank"><i>Digital Finance</i></a>, 2020 - Present</li>
-    <li> <b>Reviewer:</b> Operations Research, Management Science, Mathematical Finance, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics. </li>
-    <li> <b>Organizer:</b> Mini-Symposium <a href="https://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=70910" target="_blank"><b>MS5 Investment and Asset Pricing under Market Frictions</b><a>, SIAM Conference on Financial Mathematics and Engineering (FM21), 2021. </li>
+    <li> <b>Reviewer:</b> Operations Research, Management Science, Mathematical Finance, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, Quantitative Finance, Mathematics and Financial Economics. </li>
+    <li> <b>Conference Organizer:</b> 
+        <ul style="list-style-type:circle">
+            <li> Mini-Symposium Organizer <a href="https://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=70910" target="_blank"><b>MS5 Investment and Asset Pricing under Market Frictions</b></a>, SIAM Conference on Financial Mathematics and Engineering (FM21), 2021. </li>
+            <li> Invited Session Chair <b>Financial Frictions and Machine Learning</b><a>, 2023 INFORMS Annual Meeting, 2023. </li>
+        </ul>
+    </li>
     <li> <b>I am one of the organizers of <a href="https://sites.google.com/view/hksgfinmatheng/home" target="_blank"><b>The Hong Kong - Singapore Joint Seminar Series in Financial Mathematics/Engineering.</b><a></li>
 </ul>