学术成果

期刊论文：

[14] Continuous Exercise of Executive Stock Options with Heterogeneous Characteristics (Jing Xu and Peiquan Yang), Journal of the Operational Research Society, Accepted.

[13] Life-time Portfolio and Consumption Choice with Defined Contribution Plans (Min Dai, Shuaijie Qian, Ling Qin, and Jing Xu), Finance and Stochastics, Accepted.

[12] Pairs Trading with Costly Short-Selling (Jing Xu and Peiquan Yang), Journal of Economic Dynamics and Control 168 (2024), 104941.

[11] Picking a Thorny Rose: Optimal Trading with Spread-Based Return Predictability (Linjun Feng, Ya Li, and Jing Xu), European Financial Management 30 (2024), 2343-2375.

[10] A Rational Theory for Disposition Effects (Min Dai, Yipeng Jiang, Hong Liu, and Jing Xu), Review of Economic Dynamics 47 (2023), 131-157.

[9] Competition and Equilibrium Effort Choice (Jing Xu), Journal of Economic Dynamics and Control 137 (2022), 104331.

[8] Incomplete Information and the Liquidity Premium Puzzle (Yingshan Chen, Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan), Management Science 67 (2021), 5703-5729.

[7] A Comment on: "Real Options for Endangered Species" (Conrad, 2018) (Jing Xu), Ecological Economics 189 (2021), 107175.

[6] Lose Oneself in Comparison: An Investment and Consumption Game between Two Agents (Jing Xu), Operations Research Letters 49 (2021), 350-356.

[5] Two Birds, One Stone: Joint-Timing of Returns and Capital Gains Taxes (Yaoting Lei, Ya Li and Jing Xu), Management Science 66 (2020), 823-843.

[4] How Does Illiquidity Affect Delegated Portfolio Choice? (Min Dai, Luis Goncalves-Pinto and Jing Xu), Journal of Financial and Quantitative Analysis 54 (2019), 539-585.

[3] The Invisible Hand of Internal Markets in Mutual Fund Families (Luis Goncalves-Pinto, Juan Sotes-Paladino and Jing Xu), Journal of Banking and Finance 89 (2018), 105-124.

[2] Superhedging under Ratio Constraint (Yingshan Chen, Min Dai, Jing Xu and Mingyu Xu), Journal of Economic Dynamics and Control 58 (2015), 250-264.

[1] Costly Arbitrage through Pairs Trading (Yaoting Lei and Jing Xu), Journal of Economic Dynamics and Control 56 (2015), 1-19.

工作论文：

Optimal Non-swing Trading (Jing Xu and Peiquan Yang)

Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework (Hong Liu, Shuaijie Qian, and Jing Xu)

Inflation and Tax Timing (Yaoting Lei, Hong Liu, Jing Xu, and Peiquan Yang)

Convex Incentives and Liquidity Premia (Min Dai, Luis Goncalves-Pinto, Jing Xu, and Cheng Yan)

Equilibrium Investment and Consumption with Time-Varying Keeping-up-with-the-Joneses Incentive (Yue Liu, Jing Xu, and Peiquan Yang)

主要学术会议报告

10/2023, Annual Conference of the Chinese Society of Industrial and Applied Mathematics, Kunming, China

08/2023, Recent Advances in Quantitative Finance, Hong Kong, China

05/2023, PKU-NUS International Conference on Quantitative Economics and Finance, Shenzhen, China

05/2023, China Economic Annual Conference, Guangzhou, China

10/2022, China Finance Annual Meeting, Shanghai, China

06/2022, World Congress of Bachelier Finance Society, Hong Kong, China

05/2022, PKU-NUS International Conference on Quantitative Economics and Finance, Shenzhen, China

07/2021, Annual Risk Management Conference, Singapore

07/2021, China International Conference in Finance, Shanghai

12/2020, International Conference on Asia-Pacific Financial Markets, Seoul, South Korea

07/2019, Financial Management Association Asia-Pacific Conference, Ho Chi Minh City, Vietnam

11/2018, Asian Quantitative Finance Conference, Guangzhou, China

06/2018, Asian Finance Association Annual Meeting, Tokyo, Japan

12/2017, International Conference on Asia-Pacific Financial Markets, Seoul, South Korea

05/2017, Financial Management Association Asia-Pacific Conference, Taipei, Taiwan

08/2016, European Finance Association Annual Meeting, Oslo, Norway

12/2015, Australasian Finance and Banking Conference, Sydney, Australia

01/2013, Asian Quantitative Finance Conference, Singapore

12/2012, Australasian Finance and Banking Conference, Sydney, Australia