Hong Liu

Associate Professor of Finance

Areas of Expertise:

Finance/Investments - Financial Economics; Finance/Investments - Investment/Security Pricing/Portfolio Theory; Finance/Investments - Option Pricing

Research interests:

Optimal consumption and investment with frictions, asset pricing, market microstructure

Selected Publications:

• "So What Orders Do Informed Traders Use?" Journal of Business, with R. Kaniel, forthcoming
• "Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets," Journal of Finance, Issue 59, No. 1, 289-338, 2004
• "Optimal Portfolio Selection with Transaction Costs and Finite Horizons," Review of Financial Studies, Issue 15, 805-835, with M. Loewenstein, 2002
• "Optimal Consumption of a Divisible Durable Good," Journal of Economic Dynamics and Control, Issue 24, 561-613, with D. Cuoco, 2000
• "A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements," Mathematical Finance, Issue 10, 355-385, with D. Cuoco, 2000

Academic/professional activities:

Refereed papers for: American Economic Review, Journal of Economic Theory, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies among others.
Member: American Finance Association; Society of Financial Studies; Western Finance Association
Presented papers at numerous universities and conferences

Awards/honors:

Marcile and James Reid Chair, for consistent excellence in teaching, Olin School of Business, 2004-2005
Geewax, Terker and Company first prize in investment research, 1998
Lawrence Robbins Prize in Economics, 1995

Personal interests:

Professor Liu enjoys spending time with his family, playing table tennis, and playing bridge.