Ph.D. - Economics
Cornell University - 2004
Professional Preparation
M.A. - Economics
Cornell University - 2002
Cornell University - 2002
B.S. - Economics and Physics
Tsinghua University - 1998
Tsinghua University - 1998
Research Areas
Area of Interests
Real Estate, Fixed income securities, Derivates, and behavior finance.Publications
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. With Haitao Li. Review of Financial Studies. Forthcoming. forthcoming - Publication
Can the Random Walk Model be beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates. With Yongmiao Hong and Haitao Li. Journal of Econometrics. 141.2. (December 2007): 736-776. 2007 - Publication
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. With Robert Jarrow and Haitao Li. Journal of Finance. 62.1. (February 2007): 345-382. 2007 - Publication
Downside Loss Aversion and Portfolio Management. With Robert Jarrow. Management Science. 52. (April 2006): 558-566. 2006 - Publication
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives. With Haitao Li. Journal of Finance. 61.1. (February 2006): 341-378. 2006 - Publication
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models. With Yongmiao Hong and Haitao Li. Journal of Business and Economic Statistics. (October 2004): 457-473. 2004 - Publication
Appointments
Assistant Professor
The University of Texas at Dallas [2018–2018]
The University of Texas at Dallas [2018–2018]
Associate Professor
University of Texas at Dallas [2011–Present]
University of Texas at Dallas [2011–Present]
Assistant Professor
Rutgers Business School [2005–Present]
Rutgers Business School [2005–Present]
Assistant Professor
Fordham University [2004–2005]
Fordham University [2004–2005]
News Articles
Mutual Fund Study Wins Award for 3 Jindal Professors
An examination of counterintuitive investor behavior has won a best paper award for three Naveen Jindal School of Management finance professors.The trio investigated the puzzle of why actively managed mutual funds attract more investment dollars even though they generally perform more poorly than their passively managed counterparts.
Associate Professors Valery Polkovnichenko and Feng Zhao and Assistant Professor Kelsey Wei took home the Best Paper Award from the 2013 Asian Conference of the Financial Management Association International for their research.