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About Me

I am an Assistant Professor in the School of Banking and Finance at the University of International Business & Economics in Beijing. I joined UIBE in 2012. I received a Master's in Public Policy from the University of California, Berkeley and a PhD in Economics from the University of California, Davis. My fields of study were econometrics and economic theory.

My current research interests focus on developing theoretical models of banks and financial intermediaries. I am also interested in applying computational methods to economic questions. My main dissertation project developed a model of maturity mismatch as a dynamic inventory management problem.

Before becoming an academic, I worked as a software engineer at several technology start-up firms. Here's my old resume.


Working Papers

"On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy" with Meixin Guo

pdf (submitted to Journal of Mathematical Economics)

In this paper we introduce a novel method of proving existence of rational expectations equilibria (REE) in multi-dimensional CARA-Gaussian environments. Our approach is to focus on the set of parameters characterizing agents' beliefs. We show that this set is convex and compact; we then construct a continuous mapping from agents' initial beliefs, to optimal behavior given these beliefs, to equilibrium behavior; and then finally, to agents' updated beliefs after observing equilibrium. We appeal to Brouwer's fixed point theorem to prove that a fixed point exists, which must be a REE. We use this method to to prove existence of REE in a finite-agent version of the model of Admati (1985), which is a multi-asset noisy REE asset pricing model with dispersed information. Our method can prove existence in models that are not currently handled by the literature; it also can be applied to any multi-dimensional REE model with Gaussian uncertainty and behavior that is linear in agents' information.

"Specialization in Investor Information and the Diversification Discount" with Meixin Guo


We propose a theory of the diversification discount and corporate spinoffs based on specialization in information on asset returns by investors. We show that in the CARA-Gaussian framework, a discount arises when an investor has more precise information about a specific asset, compared to other investors. The discount (and hence the incentive for a spinoff) increases with the degree of information specialization among investors. A novel contribution of this paper is to apply results from the analysis of positive definite matrices to prove a result that holds for any number of investor types and assets, and with arbitrary correlations between assets.

"Fast Bellman Iteration: An Application of Legendre-Fenchel Duality to Infinite-Horizon Dynamic Programming in Discrete Time" with Takashi Kamihigashi


We propose an algorithm, which we call "Fast Bellman Iteration" (FBI), to compute the value function of an infinite-horizon dynamic programming problem in discrete time. FBI is an extremely efficient linear-time algorithm applicable to a class of multidimensional dynamic programming problems with concave return (or convex cost) functions and linear constraints. In this algorithm, a sequence of functions is generated starting from the zero function by repeatedly applying a simple algebraic rule involving the Legendre-Fenchel transform of the return function. The resulting sequence is guaranteed to converge, and the Legendre-Fenchel transform of the limiting function coincides with the value function.

Job Market Paper: "A Model of Maturity Mismatch and Fractional-Reserve Banking"

pdf code

In this paper, we present a dynamic model of a banking firm based on inventory management of stochastic cash flows. The bank takes deposits and makes loans, which may have different maturities. The model provides a parsimonious explanation of dividend payouts, maturity mismatch, quantities of credit, and bankruptcy; mismatch arises non-strategically, from profit maximization. Numerical experiments show that maturity mismatch can be optimal if the level of uncertainty in withdrawals is not too high. Uncertainty of both loan repayments and withdrawals can result in a bank that optimally fails in finite time.


Previously Taught:


The code used for my job market paper is on GitHub.

linterp - a C++ header-only library for N-dimensional linear interpolation on a rectangular grid. Implements multilinear and simplicial interpolation, and provides interfaces for Python and Matlab.

delaunay_linterp - a C++ header-only library for N-dimensional piecewise linear interpolation of unstructured data. A Delaunay triangulation with the data points as vertices is created; points inside triangles are interpolated between the values at the triangle's vertices. Python interface is included.

py_tsg - a Python wrapper around the Tasmanian Sparse Grid Library, a C++ library for high-dimensional interpolation and integration using sparse (e.g. Smolyak) grids.