Publications
Optimal consumption and investment under transaction costs, 2018 (with Hobson, D. and Zhu, Y.). arXiv:1612.00720. To appear in Mathematical Finance.
Probability weighting, stop-loss and the disposition effect, 2018 (with Henderson, V. and Hobson, D.). SSRN 2823449. Journal of Economic Theory, 178, 360-397.
Randomized strategies and prospect theory in a dynamic context, 2017 (with Henderson, V. and Hobson, D.). SSRN 2531457. Journal of Economic Theory, 168, 287-300.
Dynamic modeling of tail risk: applications to China, Hong Kong and other Asian markets, 2009 (with So, M. K. P.). SSRN 1414865. Asia-Pacific Financial Markets, 16(3), 183-210.
working papers
Dividend policy and capital structure of a defaultable firm, 2018.
Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and bank lending, 2018 (with Lambrecht, B.).
A multi-asset investment and consumption problem with transaction costs, 2016 (with Hobson D. and Zhu, Y.). Revised and resubmitted to Finance and Stochastics.