Jiatu Cai

Publication Activity (10 Years)

Years Active: 2016-2018
Publications (10 Years): 3

Top Topics

Multiple Objectives

Portfolio Selection

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Publications

Jiatu Cai, Xinfu Chen, Min Dai
Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching. Manag. Sci. 64 (5) (2018)
Jiatu Cai, Masaaki Fukasawa
Asymptotic replication with modified volatility under small transaction costs. Finance Stochastics 20 (2) (2016)
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7 (1) (2016)