Hong Liu

Comments, Complaints, or Suggestions?

If you have any comments, complaints, and/or suggestions regarding to the course, please let me know. Your information is anonymous unless you choose to put your name in the message. Note also that I cannot reply unless you put your email address in the message.

SOME USEFUL WEBSITES

The Chicago Mercantile Exchange

The Chicago Board Options Exchange

Trade Futures and Options Online at Lionsfutures

ALARON: Futures Trading and Information

Trade Futures Online at Anco Futures

Trade Futures Online at Direct Trade

Free Online Trading Game in Futures and Options

The New York Stock Exchange

The Nasdaq Stock Market

Quote, Chart and Many Goodies

CNN Financial

Online Journals

Washington University Library Resources

Business School Library

Useful Finance Site

• Optimal Consumption and Investment with Asymmetric Long-term/Short-term Capital Gains Taxes (joint with Min Dai and Yifei Zhong), 2011 TCW Best Paper Award, accepted by 2013 AFA, working paper, Washington University.

• Over-the-Counter Markets: Market Making with Asymmetric Information, Inventory Risk and Imperfect Competition (joint with Yajun Wang), working paper, Washington University. Accepted by 2010 Duke/UNC Asset Pricing Conference, 2010 CICF Program, and the 2011 AFA Program, Revise and Resubmit, Review of Financial Studies.

• Market Closure and the Liquidity Premium Puzzle (joint with Min Dai, Peifan Li, and Yajun Wang), working paper, Washington University.

• Solvency Constraint, Underdiversification, and Idiosyncratic Risks , forthcoming, Journal of Financial and Quantitative Analysis.

• Managerial Preferences, Corporate Governance, and Financial Structure (joint with Jianjun Miao), working paper, Washington University.

• Market Crashes, Correlated Illiquidity, and Portfolio Choice (joint with M. Loewenstein), forthcoming, Management Science.

• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing (joint with Philip H. Dybvig), 2011, Mathematics of Operations Research 36, 620–635.

• Illiquidity, Position Limits, and Optimal Investment for Mutual Funds (joint with M. Dai, H. Jin), 2011, Journal of Economic Theory 146, 1598-1630.

• Lifetime Consumption and Investment: Retirement and Constrained Borrowing (joint with Philip H. Dybvig), 2010, leading article, Journal of Economic Theory 145, 885-907

• Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance (with Todd Gormley and Guofu Zhou), 2010, Journal of Financial Economics 96, 331-344.

• Liquidity Premia and Transaction Costs (with B.G. Jang, H.K. Koo, M. Loewenstein), 2007, Journal of Finance 62, No. 5, 2329-2366.

• Rational Inattention and Portfolio Selection (joint with Lixin Huang), 2007, Journal of Finance 62, August, No. 4, 1999-2040. "This is an electronic version of an article published in Journal of Finance complete citation information for the final version of the paper, as published in the print edition of Journal of Finance, is available on the Blackwell Synergy online delivery service, accessible via the journal's website at www.blackwellpublishing.com/journals/jofi or http://www.blackwell-synergy.com."

• Equilibrium Forward Contracts on Non-storable Commodities in the Presence of Market Power (joint with Lingxiu Dong), 2007, Operations Research 55(1), 128-145.

• An Analysis of VaR-based Capital Requirements (joint with Domenico Cuoco), Journal of Financial Intermediation 15, 2006, 362-394.

• So What Orders Do Informed Traders Use? (with Ron Kaniel), Journal of Business 79, July 2006, no. 4, 1867-1913.

• Option Pricing with an Illiquid Underlying Asset Market (joint with Jiongmin Yong), 2005, Journal of Economic Dynamics and Control 29, 2125-2156.

• Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets, 2004, Journal of Finance 59, No. 1., 289-338. "This is an electronic version of an article published in Journal of Finance complete citation information for the final version of the paper, as published in the print edition of Journal of Finance, is available on the Blackwell Synergy online delivery service, accessible via the journal's website at www.blackwellpublishing.com/journals/jofi or http://www.blackwell-synergy.com."

• Optimal Portfolio Selection with Transaction Costs and Finite Horizons (joint with Mark Loewenstein), Review of Financial Studies, Vol. 15 (2002), 805-835.

• Optimal Consumption of a Divisible Durable Good (joint with Domenico Cuoco), Journal of Economic Dynamics and Control, Vol. 24 (2000), 561-613.

• A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (joint with Domenico Cuoco), Mathematical Finance, Vol. 10, No. 3 (July, 2000), 355-385.