From 651bc7886089e643aac2af758a47937b7614bc06 Mon Sep 17 00:00:00 2001
From: Chen Yang <yc4646@gmail.com>
Date: Sun, 5 Dec 2021 17:52:11 +0800
Subject: [PATCH] Added LETF paper.

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 1 file changed, 28 insertions(+), 16 deletions(-)

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@@ -41,19 +41,23 @@
     </tbody>
 </table>
 
+<!--
 <div id="annoucement">
 <ul style="list-style-type:square">
 	<li>Abstract submission for <a href="http://www1.se.cuhk.edu.hk/~bfs2020/" target="_blank">Bachelier Finance Society 11th World Congress</a> is now <a href="http://www1.se.cuhk.edu.hk/~bfs2020/cfp/cfp.html" target="_blank">open</a>.
 </ul>
 </div>
+-->
 
 <h3 id="teaching">Teaching <a href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3>
 
 <ul id="course">
-    <li><b>SEEM3590</b> Investment Science, Fall 2019</li>
-    <li><b>SEEM3580</b> Risk Analysis for Financial Engineering, Spring 2020</li>
-    <li><b>SEEM3590</b> Investment Science, Fall 2020</li>
-    <li><b>SEEM3580</b> Risk Analysis for Financial Engineering, Spring 2021</li>
+    <li><b>Fall 2021&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  </b> | SEEM5340 Stochastic Calculus (with <a href="https://sites.google.com/site/xuedonghepage/home" target=_blank">Xuedong He</a> and <a href="https://sites.google.com/site/lingfeilicuhk/" target="_blank">Lingfei Li</a>)</li>
+    <li><b>Fall 2021&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  </b> | SEEM3590 Investment Science</li>
+    <li><b>Spring 2021</b> | SEEM3590 Risk Analysis for Financial Engineering</li>   
+    <li><b>Fall 2020&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  </b> | SEEM3590 Investment Science</li>
+    <li><b>Spring 2020</b> | SEEM3580 Risk Analysis for Financial Engineering</li>
+    <li><b>Fall 2019&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  </b> | SEEM3590 Investment Science</li>
 </ul>
 
 <h3 id="research">Research Interest</h3>
@@ -61,21 +65,13 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
 
 <h3>Publications</h3>
 <ul style="list-style-type:square">
-    <li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://www.researchgate.net/profile/Xiaofei_Shi2/" target="_blank">Xiaofei Shi</a>).<br>
+    <li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://www.researchgate.net/profile/Xiaofei_Shi2/" target="_blank">Xiaofei Shi</a>).<br>
         submitted. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2011.13625" target="_blank">arXiv</a>]<br>
         <div style="display:none" id="abs_LiqPre">
         <hr>
         <i>We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.</i>
         </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>
-        submitted. [<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>]<br>
-        <div style="display:none" id="abs_LETF">
-        <hr>
-        <i>Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great challenge to financial institutions.  We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnight market closure and market frictions. The model allows for an analytical optimal rebalancing strategy. 
-            Moreover, our result extends the principle of "aiming in front of target" introduced by <a href="https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12080" target="_black">G&acirc;rleanu and Pedersen (2013)</a> from a constant weight between current and future positions to a  time-varying weight, because  the rebalancing performance is monitored only at discrete time points but the rebalancing takes place continuously.</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>
         submitted. [<a href="" onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>]<br>
@@ -85,6 +81,15 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
         </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>
+        <i>Management Science</i>, forthcoming. [<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>]<br>
+        <div style="display:none" id="abs_LETF">
+        <hr>
+        <i>Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great challenge to financial institutions.  We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnight market closure and market frictions. The model allows for an analytical optimal rebalancing strategy.
+            The result extends the principle of "aiming in front of target" introduced by <a href="https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12080" target="_black">G&acirc;rleanu and Pedersen (2013)</a> from a constant weight between current and future positions to a  time-varying weight, because  the rebalancing performance is monitored only at discrete time points but the rebalancing takes place continuously. Empirical findings and implications for the weekend effect and the intraday trading volume are also presented.</i>
+        </div>
+    </li><br> 
+
     <li><b>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br>
         <i>Mathematics of Operations Research</i>, forthcoming. [<a href="" onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>]<br>
         <div style="display:none" id="abs_FK">
@@ -110,11 +115,18 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
     </li>
 </ul>
 
+<h3>Grants</h3>
+<ul style="list-style-type:square">
+    <li> General Research Fund (ECS), <i>High-Dimensional Continuous-Time Portfolio Selection with Capital Gains Tax</i>, 2022 - 2024</li>
+    <li> Direct Grant, <i>Hedging Periodic Cash Flow Streams under Market Frictions</i>, 2020 - 2022 </li>
+    <li> Start-up Grant at CUHK </li>
+</ul>
+
 <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, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics.
-    <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 Conferenceon Financial Mathematics and Engineering (FM21), 2021.
+    <li> <b>Reviewer:</b> Operations Research, Management Science, 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 Conferenceon Financial Mathematics and Engineering (FM21), 2021. </li>
 </ul>
 
 
@@ -124,7 +136,7 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
 
 <hr>
 
-<div align="right"><font size="-1">Last updated: May 2021</font></div>
+<div align="right"><font size="-1">Last updated: December 2021</font></div>
 
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