中文版
Hong Liu
Fossett Distinguished Professor of Finance,
Olin Business School, Washington University

liuh@wustl.edu

CV

Support Staff: Xiaojun Gao xjgao@saif.sjtu.edu.cn

  • PROFILE
  • RESEARCH
  • TEACHING
Professor Hong Liu is currently a Special-Term Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and Fossett Distinguished Professor of Finance and Director of the Masters in Quantitative Finance Program in Washington University in St. Louis, where he has been Academic Director of the Master of Science in Finance Program since 2008. Previously, he served as Associate Professor of Finance, Assistant Professor of Finance, Washington University in St. Louis. He had worked for the State Information Center of the State Planning Commission of P.R. China (1990-1992) as an economist.

Professor Liu’s research areas include optimal consumption and investment with frictions, asset pricing, and market microstructure. He has published in Journal of Finance,Journal of Financial Economics, Review of Financial Studies, Journal of Economic Theory, and other leading academic journals. He had co-authored the book Recent Developments in Mathematical Finance. Professor Liu is the recipient of Management Science Distinguished Service Award (2013), TCFA Best Paper in Investment (2013), TCW Best Paper Award (2011), etc. 

Professor Liu is a member of American Finance Association, Western Finance Association, American Econometric Society, Society of Financial Studies, and Econometric Society. He has also been on the editorial board of top international journals, including Review of Finance and Management Science.

Professor Liu offers the course "Advanced Derivative Securities" at SAIF. He has taught a variety of financial courses at the master and PhD levels.

Professor Liu holds a Ph.D. from University of Pennsylvania (1998) and M.A. from University of Connecticut (1994).


Research Interests
Optimal consumption and investment with market imperfections, Asset pricing, Microstructure

Journal Publications & Working Papers
1. Min Dai, Peifan Li, Yajun Wang, Hong Liu, Forthcoming, Market Closure, Portfolio Selection, and Liquidity Premia, Management Science.
2. Min Dai, Peifan Li, Hong Liu, Yajun Wang , 2016, Portfolio Choice with Market Closure and Implications for Liquidity Premia , Management Science.
3. Yajun Wang, Hong Liu, 2016, Market Making with Asymmetric Information and Inventory Risk, Journal of Economic Theory.
4. Min Dai, Chen Yang, Yifei Zhong, Hong Liu, 2015, Optimal Consumption and Investment with Asymmetric Long-term/Short-term Capital Gain Tax Rates, Review of Financial Studies.
5. Min Dai, Hong Liu, Chen Yang, Yifei Zhong, 2015, Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax, Review of Financial Studies.
6. H. Liu, 2014, Solvency Constraint, Underdiversification, and Idiosyncratic Risks, Journal of Financial and Quantitative Analysis.
7. H.Liu, Mark Loewenstein, 2013, Market Crashes, Correlated Illiquidity, and ‘Flight to Quality, Management Science.
8. M. Dai, H. Jin, Hong Liu, 2011, Illiquidity, Position Limits, and Optimal Investment for Mutual Funds, Journal of Economic Theory.
9. Philip H. Dybvig, Hong Liu, 2011, Verification Theorems and Solutions of Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing, Mathematics of Operations Research.
10. Todd Gormley, Hong Liu, Guofu Zhou, 2010, Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance, Journal of Financial Economics.
11. Dybvig, Philip H; Liu, Hong, 2010, Life Time Consumption and Investment: Retirement and Constrained Borrowing, Journal of Economic Theory.
12. H.Liu, Bong-Gyu Jang, Hyeng Keun Koo, and Mark Loewenstein, 2007, Liquidity Premia and Transaction Costs, Journal of Finance.
13. H.Liu, Lixin Huang, 2007, Rational Inattention and Portfolio Selection, Journal of Finance.
14. H.Liu, Lingxiu Dong, 2007, Equilibrium Forward Contracts on Non-storable Commodities in the Presence of Market Power, Operations Research.
15. H.Liu, Domenico Cuoco, 2006, An Analysis of VaR-based Capital Requirements, Journal of Financial Intermediation.
16. H.Liu, Ron Kaniel), 2006, So What Orders Do Informed Traders Use?, Journal of Business Research .
17. H.Liu, Jiongmin Yong, 2005, Option Pricing with an Illiquid Underlying Asset Market, Journal of Economic Dynamics and Control.
18. H.Liu, 2004, Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets, Journal of Finance.
19. H.Liu, Mark Loewenstein, 2002, Optimal Portfolio Selection with Transaction Costs and Finite Horizons, Review of Financial Studies.
20. H. Liu, Jiongman Yong, 2002, Optimal Investment and Consumption with Fixed and Proportional Transaction Costs, Mathematical Finance.
21. H.Liu, Jiongmin Yong, 2002, Contingent Claims in an Illiquid Market, Mathematical Finance.
22. H.Liu, Domenico Cuoco, 2000, A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements, Mathematical Finance.
23. Hong Liu with Yajun Wang, Over-the-Counter Markets: Market Making with Asymmetric Information, Inventory Risk and Imperfect Competition.
24. Hong Liu with Min Dai, Peifan Li, Yajun Wang, Market Closure, Portfolio Selection, and Liquidity Premia.
25. Hong Liu with Min Dai and Yifei Zhong, Optimal Consumption and Investment with Capital Gain Tax and Multiple Risky Assets.
26. Hong Liu with Ohad Kadan, Jun Yang, Inattention, Forced Exercise, and the Valuation of Executive Stock Options.
27. Hong Liu with Jianjun Miao, Managerial Preferences, Corporate Governance, and Financial Structure.
28. Hong Liu with Jun Qian, Optimal Dynamic Contract with Regime Switching and Adjustment Costs.
29. Hong Liu with Min Dai and Yifei Zhong, Why constrain your fund manager?.
30. Hong Liu , Consumption Racheting, Long Term Disability Risk, and Optimal Investment.
31. Hong Liu with Bin Wei and Yulong Xing, Return Predictability and Liquidity Premium.
32. Hong Liu with Min Dai, Chen Yang, Yifei Zhong, Optimal Consumption and Investment with Differential Long-term/Short-term Capital Gain Tax Rates.
33. Hong Liu with Yufeng Liu, Optimal Lifecycle Consumption and Investment with Long Term Disability Risk and Consumption Racheting.
34. Hong Liu with Min Dai and Jing Xu, A Rational Explanation of Disposition Effect: Portfolio Rebalancing with Transaction Costs.

Teaching Interests
No current data at this time.

Current Courses
No current courses at this time.

Faculty & Research
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