Department of Economics and Finance | Staff List

Prof. DAI Min (戴民教授)

PhD - Mathematics (Fudan University)

Head (EF)
Hung Hing Ying Chair Professor of International Economics and Finance

Contact Information

E-mail:
Address:	9-251, Lau Ming Wai Academic Building City University of Hong Kong
Phone:	+852 34426898
Fax:	+852 34420194
efmdai@cityu.edu.hk
Personal Web:
https://sites.google.com/view/mindai
SSRN Web:
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=384843
CV:

Research Areas

Asset Allocation
Derivative Pricing
Corporate Finance
Financial Technology

Min Dai is the Hung Hing Ying Chair Professor of International Economics and Finance in the Department of Economics and Finance at City University of Hong Kong (CityU). He joined CityU in July 2026. He received his PhD from Fudan University in 2000 and has held faculty positions at Peking University, the National University of Singapore, and The Hong Kong Polytechnic University.

His research covers financial derivative pricing, portfolio selection under market imperfections, corporate finance, and financial technology. His work has appeared in leading peer‑reviewed journals across disciplines, including Finance and Stochastics, Journal of Econometrics, Journal of Economic Theory, Journal of Finance, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM journals.

He currently serves as Chair of the INFORMS Finance Section, as a member of the Council of the Bachelier Finance Society, and on the editorial boards of several academic journals, including Operations Research, Finance and Stochastics, Journal of Economic Dynamics and Control, and SIAM Journal on Financial Mathematics. He is a recipient of the 2026/27 RGC Senior Research Fellow Scheme (SRFS).

Publications

Journal Publications and Reviews
DAI, Min; QIN, Cong; WANG, Neng / Dynamic Trading with Realization Utility. February 2026; In: The Journal of Finance. Vol. 81, No. 1, pp. 189-238 Cao, Yizhou; Dai, Min; Kou, Steven; Li, Lewei; Yang, Chen / Designing stablecoins. January 2025; In: Mathematical Finance. Vol. 35, No. 1, pp. 263-294 戴民; 黄河清; 钱帅杰 / 金融中的变分不等式问题. March 2024; In: 中国科学 : 数学. Vol. 54, No. 3, pp. 355-376 Dai, Min; Dong, Yuchao; Jia, Yanwei / Learning equilibrium mean-variance strategy. October 2023; In: Mathematical Finance. Vol. 33, No. 4, pp. 1166-1212 Dai, Min; Kou, Steven; Soner, H. Mete; Yang, Chen / Leveraged Exchange-Traded Funds with Market Closure and Frictions. April 2023; In: Management Science. Vol. 69, No. 4, pp. 2517-2535 Chen, Yingshan; Dai, Min; Goncalves-Pinto, Luis; Xu, Jing; Yan, Cheng / Incomplete information and the liquidity premium puzzle. September 2021; In: Management Science. Vol. 67, No. 9, pp. 5703-5729 Dai, Min; Goncalves-Pinto, Luis; Xu, Jing / How Does Illiquidity Affect Delegated Portfolio Choice?. April 2019; In: Journal of Financial and Quantitative Analysis. Vol. 54, No. 2, pp. 539-585 Dai, Min; Huang, Shan; Keppo, Jussi / Opaque bank assets and optimal equity capital. March 2019; In: Journal of Economic Dynamics and Control. Vol. 100, pp. 369-394 Cai, Jiatu; Chen, Xinfu; Dai, Min / Portfolio selection with capital gains tax, recursive utility, and regime switching. May 2018; In: Management Science. Vol. 64, No. 5, pp. 2308-2324 Dai, Min; Yang, Zhou / A note on finite horizon optimal investment and consumption with transaction costs. July 2016; In: Discrete and Continuous Dynamical Systems - Series B. Vol. 21, No. 5, pp. 1445-1454 Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim / Optimal trend following trading rules. May 2016; In: Mathematics of Operations Research. Vol. 41, No. 2, pp. 626-642 Dai, Min; Tang, Ling; Yue, Xingye / Calibration of stochastic volatility models: A Tikhonov regularization approach. March 2016; In: Journal of Economic Dynamics and Control. Vol. 64, pp. 66-81 Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun / Portfolio choice with market closure and implications for liquidity premia. February 2016; In: Management Science. Vol. 62, No. 2, pp. 368-386 Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun / Portfolio choice with market closure and implications for liquidity premia. February 2016; In: Management Science. Vol. 62, No. 2 Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei / Optimal tax timing with asymmetric long-term/short-term capital gains tax. September 2015; In: Review of Financial Studies. Vol. 28, No. 9, pp. 2687-2721 Chen, Yingshan; Dai, Min; Xu, Jing; Xu, Mingyu / Superhedging under ratio constraint. September 2015; In: Journal of Economic Dynamics and Control. Vol. 58, pp. 250-264 Dai, Min; Keppo, Jussi; Maull, Tim / Hiring, firing, and relocation under employment protection. July 2015; In: Journal of Economic Dynamics and Control. Vol. 56, pp. 55-81 Chen, Nan; Dai, Min; Wan, Xiangwei / A nonzero-sum game approach to convertible bonds: Tax benefit, bankruptcy cost, and early/late calls. January 2013; In: Mathematical Finance. Vol. 23, No. 1, pp. 57-93 Chen, Xinfu; Dai, Min / Characterization of optimal strategy for multiasset investment and consumption with transaction costs. 2013; In: SIAM Journal on Financial Mathematics. Vol. 4, No. 1, pp. 857-883 Dai, Min; Jiang, Lishang; Lin, Jianwei / Pricing corporate debt with finite maturity and chapter 11 proceedings. 2013; In: Quantitative Finance. Vol. 13, No. 12, pp. 1855-1861 Dai, Min; Wang, Hefei; Yang, Zhou / Leverage management in a bull-bear switching market. October 2012; In: Journal of Economic Dynamics and Control. Vol. 36, No. 10, pp. 1585-1599 Dai, Min; Zhong, Yifei / Optimal stock selling/buying strategy with reference to the ultimate average. January 2012; In: Mathematical Finance. Vol. 22, No. 1, pp. 165-184 Dai, Min; Yang, Zhou; Zhong, Yifei / Optimal stock selling based on the global maximum. 2012; In: SIAM Journal on Control and Optimization. Vol. 50, No. 4, pp. 1804-1822 Bian, Baojun; Dai, Min; Jiang, Lishang; Zhang, Qing; Zhong, Yifei / Optimal Decision for Selling an Illiquid Stock. November 2011; In: Journal of Optimization Theory and Applications. Vol. 151, No. 2, pp. 402-417 Dai, Min; Xu, Zuo Quan / Optimal redeeming strategy of stock loans with finite maturity. October 2011; In: Mathematical Finance. Vol. 21, No. 4, pp. 775-793 Dai, Min; Jin, Hanqing; Liu, Hong / Illiquidity, position limits, and optimal investment for mutual funds. July 2011; In: Journal of Economic Theory. Vol. 146, No. 4, pp. 1598-1630 Dai, Min; Zhong, Yifei; Kwok, Yue Kuen / Optimal arbitrage strategies on stock index futures under position limits. April 2011; In: Journal of Futures Markets. Vol. 31, No. 4, pp. 394-406 Dai, Min; Li, Peifan; Zhang, Jin E. / A lattice algorithm for pricing moving average barrier options. March 2010; In: Journal of Economic Dynamics and Control. Vol. 34, No. 3, pp. 542-554 Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu / Continuous-time markowitz's model with transaction costs. 2010; In: SIAM Journal on Financial Mathematics. Vol. 1, No. 1, pp. 96-125 Dai, M.; Zhang, Q.; Zhu, Q. J. / Trend following trading under a regime switching model. 2010; In: SIAM Journal on Financial Mathematics. Vol. 1, No. 1, pp. 780-810 Wu, Lixin; Dai, Min / Pricing jump risk with utility indifference. March 2009; In: Quantitative Finance. Vol. 9, No. 2, pp. 177-186 Dai, Min; Yi, Fahuai / Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem. February 2009; In: Journal of Differential Equations. Vol. 246, No. 4, pp. 1445-1469 Min, Dai; Lishang, Jiang; Peifan, Li; Fahuai, Y. I. / Finite horizon optimal investment and consumption with transaction costs. 2009; In: SIAM Journal on Control and Optimization. Vol. 48, No. 2, pp. 1134-1154 Dai, Min; Kuen Kwok, Yue; Zong, Jianping / Guaranteed minimum withdrawal benefit in variable annuities. October 2008; In: Mathematical Finance. Vol. 18, No. 4, pp. 595-611 Dai, Min; Kwok, Yue Kuen / Optimal multiple stopping models of reload options and shout options. July 2008; In: Journal of Economic Dynamics and Control. Vol. 32, No. 7, pp. 2269-2290 Dai, Min; Kwok, Yue Kuen; You, Hong / Intensity-based framework and penalty formulation of optimal stopping problems. December 2007; In: Journal of Economic Dynamics and Control. Vol. 31, No. 12, pp. 3860-3880 Yang, Zhou; Yi, Fahuai; Dai, Min / A parabolic variational inequality arising from the valuation of strike reset options. November 2006; In: Journal of Differential Equations. Vol. 230, No. 2, pp. 481-501 Dai, Mim; Kwok, Yue Kuen / Characterization of optimal stopping regions of American Asian and lookback options. January 2006; In: Mathematical Finance. Vol. 16, No. 1, pp. 63-82 Dai, Min; Kwok, Yue Kuen / American options with lookback payoff. 2006; In: SIAM Journal on Applied Mathematics. Vol. 66, No. 1, pp. 206-227 Dai, Min; Kwok, Yue Kuen / Optimal policies of call with notice period requirement. December 2005; In: Asia-Pacific Financial Markets. Vol. 12, No. 4, pp. 353-373 Dai, Min; Kwok, Yue Kuen / Options with combined reset rights on strike and maturity. September 2005; In: Journal of Economic Dynamics and Control. Vol. 29, No. 9, pp. 1495-1515 Dai, Min; Kwok, Yue Kuen / Valuing employee reload options under the time vesting requirement. February 2005; In: Quantitative Finance. Vol. 5, No. 1, pp. 61-69 Dai, Min; Kwok, Yue Kuen; Wu, Lixin / Optimal shouting policies of options with strike reset right. July 2004; In: Mathematical Finance. Vol. 14, No. 3, pp. 383-401 Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen / Quanto lookback options. July 2004; In: Mathematical Finance. Vol. 14, No. 3, pp. 445-467 Jiang, Li-Shang; Dai, Min / Convergence of the explicit difference scheme and the binomial tree method for American options. May 2004; In: Journal of Computational Mathematics. Vol. 22, No. 3, pp. 371-380 Dai, Min; Kwok, Yue Kuen / Knock-in American Options. February 2004; In: Journal of Futures Markets. Vol. 24, No. 2, pp. 179-192 Jiang, Lishang; Dai, Min / Convergence of binomial tree methods for European/American path-dependent options. 2004; In: SIAM Journal on Numerical Analysis. Vol. 42, No. 3, pp. 1094-1109 Dai, Min; Kwok, Yue Kuen; Wu, Li Xin / Options with multiple reset rights. September 2003; In: International Journal of Theoretical and Applied Finance. Vol. 6, No. 6, pp. 637-653 Dai, Min / One-state variable binomial models for European-/American-style geometric Asian options. August 2003; In: Quantitative Finance. Vol. 3, No. 4, pp. 288-295 Wang, Guo-Yan; Dai, Min / Equivalent linearization method based on energy-to-cth-power difference criterion in nonlinear stochastic vibration analysis of multi-degree-of-freedom systems. August 2001; In: Applied Mathematics and Mechanics (English Edition). Vol. 22, No. 8, pp. 947-955 Dai, Min / A Modified Binomial Tree Method for Currency Lookback Options. 2000; In: Acta Mathematica Sinica, English Series. Vol. 16, No. 3, pp. 445-454

Journal Publications and Reviews

DAI, Min; QIN, Cong; WANG, Neng / Dynamic Trading with Realization Utility. February 2026; In: The Journal of Finance. Vol. 81, No. 1, pp. 189-238
Cao, Yizhou; Dai, Min; Kou, Steven; Li, Lewei; Yang, Chen / Designing stablecoins. January 2025; In: Mathematical Finance. Vol. 35, No. 1, pp. 263-294
戴民; 黄河清; 钱帅杰 / 金融中的变分不等式问题. March 2024; In: 中国科学 : 数学. Vol. 54, No. 3, pp. 355-376
Dai, Min; Dong, Yuchao; Jia, Yanwei / Learning equilibrium mean-variance strategy. October 2023; In: Mathematical Finance. Vol. 33, No. 4, pp. 1166-1212
Dai, Min; Kou, Steven; Soner, H. Mete; Yang, Chen / Leveraged Exchange-Traded Funds with Market Closure and Frictions. April 2023; In: Management Science. Vol. 69, No. 4, pp. 2517-2535
Chen, Yingshan; Dai, Min; Goncalves-Pinto, Luis; Xu, Jing; Yan, Cheng / Incomplete information and the liquidity premium puzzle. September 2021; In: Management Science. Vol. 67, No. 9, pp. 5703-5729
Dai, Min; Goncalves-Pinto, Luis; Xu, Jing / How Does Illiquidity Affect Delegated Portfolio Choice?. April 2019; In: Journal of Financial and Quantitative Analysis. Vol. 54, No. 2, pp. 539-585
Dai, Min; Huang, Shan; Keppo, Jussi / Opaque bank assets and optimal equity capital. March 2019; In: Journal of Economic Dynamics and Control. Vol. 100, pp. 369-394
Cai, Jiatu; Chen, Xinfu; Dai, Min / Portfolio selection with capital gains tax, recursive utility, and regime switching. May 2018; In: Management Science. Vol. 64, No. 5, pp. 2308-2324
Dai, Min; Yang, Zhou / A note on finite horizon optimal investment and consumption with transaction costs. July 2016; In: Discrete and Continuous Dynamical Systems - Series B. Vol. 21, No. 5, pp. 1445-1454
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim / Optimal trend following trading rules. May 2016; In: Mathematics of Operations Research. Vol. 41, No. 2, pp. 626-642
Dai, Min; Tang, Ling; Yue, Xingye / Calibration of stochastic volatility models: A Tikhonov regularization approach. March 2016; In: Journal of Economic Dynamics and Control. Vol. 64, pp. 66-81
Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun / Portfolio choice with market closure and implications for liquidity premia. February 2016; In: Management Science. Vol. 62, No. 2, pp. 368-386
Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun / Portfolio choice with market closure and implications for liquidity premia. February 2016; In: Management Science. Vol. 62, No. 2
Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei / Optimal tax timing with asymmetric long-term/short-term capital gains tax. September 2015; In: Review of Financial Studies. Vol. 28, No. 9, pp. 2687-2721
Chen, Yingshan; Dai, Min; Xu, Jing; Xu, Mingyu / Superhedging under ratio constraint. September 2015; In: Journal of Economic Dynamics and Control. Vol. 58, pp. 250-264
Dai, Min; Keppo, Jussi; Maull, Tim / Hiring, firing, and relocation under employment protection. July 2015; In: Journal of Economic Dynamics and Control. Vol. 56, pp. 55-81
Chen, Nan; Dai, Min; Wan, Xiangwei / A nonzero-sum game approach to convertible bonds: Tax benefit, bankruptcy cost, and early/late calls. January 2013; In: Mathematical Finance. Vol. 23, No. 1, pp. 57-93
Chen, Xinfu; Dai, Min / Characterization of optimal strategy for multiasset investment and consumption with transaction costs. 2013; In: SIAM Journal on Financial Mathematics. Vol. 4, No. 1, pp. 857-883
Dai, Min; Jiang, Lishang; Lin, Jianwei / Pricing corporate debt with finite maturity and chapter 11 proceedings. 2013; In: Quantitative Finance. Vol. 13, No. 12, pp. 1855-1861
Dai, Min; Wang, Hefei; Yang, Zhou / Leverage management in a bull-bear switching market. October 2012; In: Journal of Economic Dynamics and Control. Vol. 36, No. 10, pp. 1585-1599
Dai, Min; Zhong, Yifei / Optimal stock selling/buying strategy with reference to the ultimate average. January 2012; In: Mathematical Finance. Vol. 22, No. 1, pp. 165-184
Dai, Min; Yang, Zhou; Zhong, Yifei / Optimal stock selling based on the global maximum. 2012; In: SIAM Journal on Control and Optimization. Vol. 50, No. 4, pp. 1804-1822
Bian, Baojun; Dai, Min; Jiang, Lishang; Zhang, Qing; Zhong, Yifei / Optimal Decision for Selling an Illiquid Stock. November 2011; In: Journal of Optimization Theory and Applications. Vol. 151, No. 2, pp. 402-417
Dai, Min; Xu, Zuo Quan / Optimal redeeming strategy of stock loans with finite maturity. October 2011; In: Mathematical Finance. Vol. 21, No. 4, pp. 775-793
Dai, Min; Jin, Hanqing; Liu, Hong / Illiquidity, position limits, and optimal investment for mutual funds. July 2011; In: Journal of Economic Theory. Vol. 146, No. 4, pp. 1598-1630
Dai, Min; Zhong, Yifei; Kwok, Yue Kuen / Optimal arbitrage strategies on stock index futures under position limits. April 2011; In: Journal of Futures Markets. Vol. 31, No. 4, pp. 394-406
Dai, Min; Li, Peifan; Zhang, Jin E. / A lattice algorithm for pricing moving average barrier options. March 2010; In: Journal of Economic Dynamics and Control. Vol. 34, No. 3, pp. 542-554
Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu / Continuous-time markowitz's model with transaction costs. 2010; In: SIAM Journal on Financial Mathematics. Vol. 1, No. 1, pp. 96-125
Dai, M.; Zhang, Q.; Zhu, Q. J. / Trend following trading under a regime switching model. 2010; In: SIAM Journal on Financial Mathematics. Vol. 1, No. 1, pp. 780-810
Wu, Lixin; Dai, Min / Pricing jump risk with utility indifference. March 2009; In: Quantitative Finance. Vol. 9, No. 2, pp. 177-186
Dai, Min; Yi, Fahuai / Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem. February 2009; In: Journal of Differential Equations. Vol. 246, No. 4, pp. 1445-1469
Min, Dai; Lishang, Jiang; Peifan, Li; Fahuai, Y. I. / Finite horizon optimal investment and consumption with transaction costs. 2009; In: SIAM Journal on Control and Optimization. Vol. 48, No. 2, pp. 1134-1154
Dai, Min; Kuen Kwok, Yue; Zong, Jianping / Guaranteed minimum withdrawal benefit in variable annuities. October 2008; In: Mathematical Finance. Vol. 18, No. 4, pp. 595-611
Dai, Min; Kwok, Yue Kuen / Optimal multiple stopping models of reload options and shout options. July 2008; In: Journal of Economic Dynamics and Control. Vol. 32, No. 7, pp. 2269-2290
Dai, Min; Kwok, Yue Kuen; You, Hong / Intensity-based framework and penalty formulation of optimal stopping problems. December 2007; In: Journal of Economic Dynamics and Control. Vol. 31, No. 12, pp. 3860-3880
Yang, Zhou; Yi, Fahuai; Dai, Min / A parabolic variational inequality arising from the valuation of strike reset options. November 2006; In: Journal of Differential Equations. Vol. 230, No. 2, pp. 481-501
Dai, Mim; Kwok, Yue Kuen / Characterization of optimal stopping regions of American Asian and lookback options. January 2006; In: Mathematical Finance. Vol. 16, No. 1, pp. 63-82
Dai, Min; Kwok, Yue Kuen / American options with lookback payoff. 2006; In: SIAM Journal on Applied Mathematics. Vol. 66, No. 1, pp. 206-227
Dai, Min; Kwok, Yue Kuen / Optimal policies of call with notice period requirement. December 2005; In: Asia-Pacific Financial Markets. Vol. 12, No. 4, pp. 353-373
Dai, Min; Kwok, Yue Kuen / Options with combined reset rights on strike and maturity. September 2005; In: Journal of Economic Dynamics and Control. Vol. 29, No. 9, pp. 1495-1515
Dai, Min; Kwok, Yue Kuen / Valuing employee reload options under the time vesting requirement. February 2005; In: Quantitative Finance. Vol. 5, No. 1, pp. 61-69
Dai, Min; Kwok, Yue Kuen; Wu, Lixin / Optimal shouting policies of options with strike reset right. July 2004; In: Mathematical Finance. Vol. 14, No. 3, pp. 383-401
Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen / Quanto lookback options. July 2004; In: Mathematical Finance. Vol. 14, No. 3, pp. 445-467
Jiang, Li-Shang; Dai, Min / Convergence of the explicit difference scheme and the binomial tree method for American options. May 2004; In: Journal of Computational Mathematics. Vol. 22, No. 3, pp. 371-380
Dai, Min; Kwok, Yue Kuen / Knock-in American Options. February 2004; In: Journal of Futures Markets. Vol. 24, No. 2, pp. 179-192
Jiang, Lishang; Dai, Min / Convergence of binomial tree methods for European/American path-dependent options. 2004; In: SIAM Journal on Numerical Analysis. Vol. 42, No. 3, pp. 1094-1109
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin / Options with multiple reset rights. September 2003; In: International Journal of Theoretical and Applied Finance. Vol. 6, No. 6, pp. 637-653
Dai, Min / One-state variable binomial models for European-/American-style geometric Asian options. August 2003; In: Quantitative Finance. Vol. 3, No. 4, pp. 288-295
Wang, Guo-Yan; Dai, Min / Equivalent linearization method based on energy-to-cth-power difference criterion in nonlinear stochastic vibration analysis of multi-degree-of-freedom systems. August 2001; In: Applied Mathematics and Mechanics (English Edition). Vol. 22, No. 8, pp. 947-955
Dai, Min / A Modified Binomial Tree Method for Currency Lookback Options. 2000; In: Acta Mathematica Sinica, English Series. Vol. 16, No. 3, pp. 445-454

Chapters, Conference Papers, Creative and Literary Works
Zhang, Yaquan; Wu, Qi; Peng, Nanbo; Dai, Min; Zhang, Jing; Wang, Hu / Memory-Gated Recurrent Networks. May 2021; The Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21). pp. 10956-10963

Prof. DAI Min (戴民教授)

Head (EF)Hung Hing Ying Chair Professor of International Economics and Finance

Contact Information

Research Areas

Publications

Head (EF)
Hung Hing Ying Chair Professor of International Economics and Finance