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Chen Yang
2020-03-29 21:23:45 +08:00
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</table> </table>
<div id="annoucement"> <div id="annoucement">
<ul> <ul style="list-style-type:square">
<li>I am looking for self-motivated, hard-working PhD students with solid mathematics background and experience in programming. Students with a bachelor/master degree in Applied Mathematics or Probability are preferred. Contact me via email if you are interested.</li> <li>I am looking for self-motivated, hard-working PhD students with solid mathematics background and experience in programming. Students with a bachelor/master degree in Applied Mathematics or Probability are preferred. Contact me via email if you are interested.</li>
<li><b>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</b></a>. <li><b>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</b></a>.
</div> </div>
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</ul> </ul>
<h3 id="research">Research Interest</h3> <h3 id="research">Research Interest</h3>
Optimal investment under market frictions; Stochastic Control; FinTech; Market microstructure; Machine learning. Optimal investment under market frictions; Stochastic Control; FinTech; Market microstructure; Deep learning for stochastic control.
<h3>Publications</h3> <h3>Publications</h3>
<ol reversed> <ul style="list-style-type:square">
<li><b>Rebalancing of Leveraged ETFs under Market 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>Rebalancing of Leveraged ETFs under Market 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>]<br> submitted. [<a href="" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>]<br>
<div style="display:none" id="abs_LETF"> <div style="display:none" id="abs_LETF">
@@ -94,7 +94,7 @@ Optimal investment under market frictions; Stochastic Control; FinTech; Market m
</div> </div>
</li><br> </li><br>
<li><b>Stochastic Representation for Nonlocal Problems</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> <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> <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"> <div style="display:none" id="abs_FK">
<hr> <hr>
@@ -126,7 +126,7 @@ Optimal investment under market frictions; Stochastic Control; FinTech; Market m
<i>We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax rates can decrease as short-term capital gains tax rates increase.</i> <i>We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax rates can decrease as short-term capital gains tax rates increase.</i>
</div> </div>
</li> </li>
</ol> </ul>
<h3 id="links">Links</h3> <h3 id="links">Links</h3>